Given that natural gas is a vital input for the U.S. utility sector, this study empirically investigates the return connectedness between the natural gas and utility stocks in the U.S. market. Using the quantile connectedness approach, we show that the nexus between natural gas and utility stocks is more pronounced at the tails compared to the central of the conditional distribution. The return connectedness indices are time-varying with a net receiver role of natural gas and driven by various macro-variables. Finally, our portfolio implication analyses with alternative tail risk measures suggest that it can be more beneficial for risk-adverse investors to allocate substantial weights into the electricity utility stocks in normal market conditions. However, during the COVID-19- induced recession, it is critical to shift more fund to the natural gas futures to reduce tail risks.

鉴于天然气是美国公用事业部门的重要投入，本研究实证调查了美国市场上天然气与公用事业股票之间的回报关联性。使用分位数连通性方法，我们表明与条件分布的中心相比，天然气和公用事业股票之间的联系在尾部更为明显。返回连通性指数随着天然气的净接收者作用而随时间变化，并受各种宏观变量的驱动。最后，我们使用替代尾部风险措施进行的投资组合影响分析表明，在正常市场条件下，规避风险的投资者将大量权重分配给电力公用事业股可能更有利。然而，在 COVID-19 引发的经济衰退期间，