Are global natural gas markets integrated?

This study explores the degree of integration and volatility spillovers among the leading natural gas markets in the world, namely the United States (Henry Hub), the United Kingdom (National Balancing Point, NBP), and Japan (Japan Korea Marker, JKM). Using a combination of ARDL, BEKK-GARCH, and DCC-GARCH models on daily closing price data covering the period from July 2014 to November 2023, the analysis aims to determine whether natural gas markets operate in an integrated global structure or maintain regionally segmented dynamics. The research is motivated by the increasing importance of natural gas in the global energy mix, transition to green energy, its role in energy security, and the impact of geopolitical and economic shocks on price stability. The findings reveal notable asymmetries across markets. The Japanese and British hubs are strongly interconnected, reacting intensively to both their own past shocks and external shocks originating from each other. Dynamic correlations between Japan and the UK remain persistently high, suggesting a tight long-term linkage between Asian and European markets. In contrast, the U.S. market exhibits a more insulated structure, with shocks from Henry Hub showing limited spillover effects on the UK and Japanese markets. While volatility from Japan spills over significantly to both NBP and Henry Hub, the reverse transmission from the U.S. is weak, underscoring its relatively independent position in the global natural gas system. These results provide evidence that the global natural gas market is only partially integrated. Whereas Europe and Asia demonstrate strong interdependence, the United States remains more detached, reflecting differences in market structure, pricing mechanisms, and regional policy frameworks. The study contributes to the literature by offering comprehensive insights into the asymmetric nature of volatility transmission and market linkages, thus clarifying the dynamics of global gas hubs in the post-2014 energy landscape. From a policy perspective, the results highlight the importance of regional cooperation between Asian and European markets, while also underlining the strategic autonomy of the U.S. in global energy trade.