Anhui University of Finance and Economics, No.962, Cao Shan Road, Bengbu, Anhui Province, China.
Environ Sci Pollut Res Int. 2023 Nov;30(55):117265-117276. doi: 10.1007/s11356-023-30492-x. Epub 2023 Oct 21.
This study investigates the correlation between the natural gas market, uncertainty, and the stock market in China. The research uses the BK model and considers both high- and low-frequency bands. According to the dynamic spillover indices and connectedness network, natural gas market, uncertainty, and stock market spillover influences are concentrated in the high-frequency band within 12 trading weeks and minor in the low-frequency band. The natural gas market receives information in the return model. In contrast, the uncertainty of the financial and energy market is the primary transmitter and substantially impacts the natural gas market return. In the volatility model, the natural gas market remains the information receiver but is affected by financial market uncertainty and stock market volatility. During the financial crisis and the COVID-19 pandemic, results indicate that financial market uncertainty, energy market uncertainty, and stock market volatility exerted a substantial influence on the natural gas market.
本研究调查了中国天然气市场、不确定性和股票市场之间的相关性。研究使用了 BK 模型，并考虑了高频和低频带。根据动态溢出指数和连通性网络，天然气市场、不确定性和股票市场溢出影响集中在 12 个交易周的高频带内，低频带内影响较小。天然气市场在收益模型中接收信息。相比之下，金融和能源市场的不确定性是主要的信息传递者，对天然气市场收益有重大影响。在波动模型中，天然气市场仍然是信息接收者，但受到金融市场不确定性和股票市场波动的影响。在金融危机和 COVID-19 大流行期间，结果表明金融市场不确定性、能源市场不确定性和股票市场波动对天然气市场产生了重大影响。
