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Open AccessArticle

Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets

1
The Kansai Electric Power Company, Incorporated, Osaka 530-8270, Japan
2
Graduate School of Economics, Kobe University, Kobe 657-8501, Japan
3
Shinsei Bank, Limited, Tokyo 103-8303, Japan
*
Author to whom correspondence should be addressed.
Energies 2019, 12(20), 3927; https://doi.org/10.3390/en12203927
Received: 11 September 2019 / Revised: 9 October 2019 / Accepted: 12 October 2019 / Published: 16 October 2019
(This article belongs to the Special Issue Empirical Analysis of Natural Gas Markets)
We examine spillovers among the North American, European, and Asia–Pacific natural gas markets based on daily data. We use daily natural gas price indexes from 2 February 2009 to 28 February 2019 for the Henry Hub, National Balancing Point, Title Transfer Facility, and Japan Korea Marker. The results of spillover analyses indicate the total connectedness of the return and volatility series to be 22.9% and 32.8%, respectively. In other words, volatility is more highly integrated than returns. The results of the spectral analyses indicate the spillover effect of the return series can largely be explained by short-term factors, while that of the volatility series can be largely explained by long-term factors. The results of the dynamic analyses with moving window samples do not indicate that global gas market liquidity increases with the increasing spillover index. However, the results identify the spillover effect fluctuation caused by demand and supply. View Full-Text
Keywords: spillover effect; market integration; natural gas market; time frequency dynamics spillover effect; market integration; natural gas market; time frequency dynamics
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MDPI and ACS Style

Nakajima, T.; Toyoshima, Y. Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets. Energies 2019, 12, 3927.

AMA Style

Nakajima T, Toyoshima Y. Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets. Energies. 2019; 12(20):3927.

Chicago/Turabian Style

Nakajima, Tadahiro; Toyoshima, Yuki. 2019. "Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets" Energies 12, no. 20: 3927.

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