Information spillovers and connectedness networks in the oil and gas markets

Highlights: • Oil–gas relationship from the multi-scale perspective is examined. • We combined connectedness network framework with the EEMD method. • We find WTI and its refinery products tend to serve as net information transmitters. • The US and UK natural gas markets serve as net receivers. • The robustness of the results is shown by substituting Brent for WTI. - Abstract: This paper investigates the oil–gas relationship from a multi-scale perspective by combining the connectedness network framework and the ensemble empirical mode decomposition (EEMD) method. The empirical results show that the direction and magnitude of the information flow between oil and gas returns behave differently across time scales. In general, WTI and its refinery products tend to act as net information transmitters, while the United States and United Kingdom natural gas markets act as net receivers. The total spillover connectedness for the oil and gas markets, as measured by a rolling-window approach, has dynamic, volatile characteristics. The robustness of the results is shown by substituting Brent for WTI.