Previous research has primarily focused on external factors to refine predictions of natural gas volatility, a prominent cleaner fossil fuel. Yet, there's a gap in the literature regarding the intrinsic factors impacting the volatility of natural gas returns, especially during crises. Using the TVP-VAR frequency connectedness method, we uncover a pronounced dynamic integration and return transmission between natural gas and BRICS stock markets. Our findings emphasize a strong interconnectedness in both the lower and upper extremes of the return distribution, indicating the profound effects of both negative and positive extreme shocks. We also document symmetric spillover effects in tumultuous market conditions. Short-term spillovers are critical in transmitting shocks, while long-term ones define interconnectedness patterns. Notably, we identify assets that are net-receivers and net-transmitters, with natural gas consistently being a net receiver. Our results provide valuable insights for investors and portfolio managers, emphasizing the need for stringent risk management during crises like COVID-19 and the Russia–Ukraine conflict due to the presence of non-diversifiable systematic risks.

之前的研究主要集中在外部因素上，以完善对天然气波动性的预测，天然气是一种重要的清洁化石燃料。然而，关于影响天然气回报波动性的内在因素，特别是在危机期间，文献中存在空白。使用 TVP-VAR 频率连通性方法，我们揭示了天然气和金砖国家股票市场之间明显的动态整合和回报传输。我们的研究结果强调了回报分布的下限和上限之间存在很强的相互关联性，表明负面和正面极端冲击的深远影响。我们还记录了动荡的市场条件下的对称溢出效应。短期溢出效应对于传导冲击至关重要，而长期溢出效应则决定了相互关联的模式。值得注意的是，我们确定了净接收者和净发送者的资产，其中天然气始终是净接收者。我们的研究结果为投资者和投资组合经理提供了宝贵的见解，强调了在 COVID-19 和俄罗斯-乌克兰冲突等危机期间，由于存在不可分散的系统性风险，需要进行严格的风险管理。