**Appendix A**

**Figure A1.** Pairwise directional return spillover of DY12 and BK18 in North America. Notes: US from HENRY HUB indicates the return spillover from natural gas to US; CANADA from HENRY HUB indicates the return spillover from natural gas to Canada; US from WTI indicates the return spillover from crude oil to US; CANADA from WTI indicates the return spillover from crude oil to Canada.

**Figure A2.** Pairwise directional return spillover of DY12 and BK18 in Europe. Notes: GERMANY from NBP indicates the return spillover from natural gas to Germany; UK from NBP indicates the return spillover from natural gas to the UK; FRANCE from NBP indicates the return spillover from natural gas to France; ITALY from NBP indicates the return spillover from natural gas to Italy; GERMANY from BRENT indicates the return spillover from crude oil to Germany; UK from BRENT indicates the return spillover from crude oil to the UK; FRANCE from BRENT indicates the return spillover from crude oil to France; ITALY from BRENT indicates the return spillover from crude oil to Italy.

**Figure A3.** Pairwise directional volatility spillover of DY12 and BK18 in North America. Notes: US from HENRY HUB indicates the volatility spillover from natural gas to US; CANADA from HENRY HUB indicates the volatility spillover from natural gas to Canada; US from WTI indicates the volatility spillover from crude oil to US; CANADA from WTI indicates the volatility spillover from crude oil to Canada.

**Figure A4.** Pairwise directional volatility spillover of DY12 and BK18 in Europe. Notes: GERMANY from NBP indicates the volatility spillover from natural gas to Germany; UK from NBP indicates the volatility spillover from natural gas to the UK; FRANCE from NBP indicates the volatility spillover from natural gas to France; ITALY from NBP indicates the volatility spillover from natural gas to Italy; GERMANY from BRENT indicates the volatility spillover from crude oil to Germany; UK from BRENT indicates the volatility spillover from crude oil to the UK; FRANCE from BRENT indicates the volatility spillover from crude oil to France; ITALY from BRENT indicates the volatility spillover from crude oil to Italy.

**Figure A5.** Total return spillover of DY12 and BK18 in North America (Windows 250).

**Figure A6.** Total return spillover of DY12 and BK18 in North America (Windows 370).

**Figure A7.** Total return spillover of DY12 and BK18 in Europe (Windows 250).

**Figure A8.** Total return spillover of DY12 and BK18 in Europe (Windows 370).

**Figure A9.** Total volatility spillover of DY12 and BK18 in North America (Windows 250).

**Figure A10.** Total volatility spillover of DY12 and BK18 in North America (Windows 370).

**Figure A11.** Total volatility spillover of DY12 and BK18 in Europe (Windows 250).

**Figure A12.** Total volatility spillover of DY12 and BK18 in Europe (Windows 370).
