Abstract：This study estimated the rate of returns on steam coal, refined oil and LNG ranging from 2014 to 2021, and investigated the mean spillover, asymmetric volatility spillover and dynamic correlations among the three energy product markets. The investigation indicates that there are significant spillover effects of variables in the sample period. Refined oil market has a bidirectional spillover effect with steam coal market and LNG market in the mean spillover and the volatility spillover, respectively. It seems that refined oil market is the nexus of spillover which connects steam coal market and LNG market, playing a regulatory role. Significant asymmetric characteristics exist in the volatility spillover among the three energy product markets and their own volatility. The LNG market has promoted the integration of traditional energy markets. It is the source of price spillover, and the risk of steam coal market and refined oil market will be aggravated with the volatility in its price.
