Natural gas is an essential resource to achieve energy transition and carbon neutrality, and the allocation of natural gas resources depends on the integrated development of the natural gas market. This paper presents a quantile spillover approach to measure changes in the integration of the European gas futures market when major events occur. The empirical results show that extreme events exacerbate the transmission of market risk, and COVID-19 has weakened market integration. The arrival of severe cold weather led to a supply and demand imbalance in the market, and the level of market resource integration was hit hard. In addition, when active and effective reform policies are implemented, they help restore market connectivity. From the perspective of risk transmission within the system, this paper also finds that liberalized or highly liquid hubs can better cope with extreme risks. The findings have implications for policymakers to improve market integration and provide important insights for investors to trade during turbulent times such as COVID-19.

天然气是实现能源转型和碳中和的重要资源，天然气资源的配置取决于天然气市场的一体化发展。本文提出了一种分位数溢出方法来衡量重大事件发生时欧洲天然气期货市场整合的变化。实证结果表明，极端事件加剧了市场风险的传递，COVID-19 削弱了市场整合。严寒天气的到来导致市场供需失衡，市场资源整合水平受到重创。此外，实施积极有效的改革政策，有助于恢复市场互联互通。从系统内风险传递的角度来看，本文还发现，自由化或高流动性的枢纽可以更好地应对极端风险。这些发现对政策制定者改善市场整合并为投资者在 COVID-19 等动荡时期进行交易提供重要见解具有重要意义。