Global Markets Daily Assessing Sensitivity of EM European Equities to Natural Gas Shocks

Economics Research 8 September 2026 | 9:06PM IST

Global Markets Daily: Assessing Sensitivity of EM European Equities to Natural Gas Shocks

n European TTF natural gas prices have risen over 70% since early July to over EUR Tarun Lalwani, CFA | 70/MWh due to subdued Persian Gulf export volumes, and could spike above Goldman Sachs India SPL EUR 100/MWh in a risk scenario, if flows remain constrained heading into the Sunil Koul winter, according to our commodities team. Against this backdrop, we assess the | Goldman Sachs International sensitivity of EM European equities to natural gas shocks and identify markets Mambuna Njie and sectors that are most exposed. | Goldman Sachs International n First, we model the historical sensitivity of EM equity returns to changes in gas Shuyi Fang prices, while controlling for key macro variables, including growth, the US Dollar, | Goldman Sachs International rates, and global equities. Second, we analyze the performance of EM European equities during prior episodes of natural gas shocks — a spike in gas prices from high levels. We then combine the sensitivities using an average rank to assess the most vulnerable pockets. n We find that Financials across most EM European markets (MXEE Index) screen as most sensitive to TTF prices given their high beta to overall domestic macro health — led by Hungary, Greece, and Poland Banks. Certain domestic cyclical sectors (e.g. Turkiye Industrials, Poland Retail) also screen as sensitive to a natural gas shock. Commodity Cyclicals on the other hand screen as relatively less exposed. n Overall, MXEE valuations have risen in recent months, supported by strong 2Q results, despite rising TTF prices, suggesting valuations could compress in severe macro outcomes. At a sector level, Financials remain both more sensitive to oil shocks and expensive relative to history, across Hungary, Poland and Greece — leaving them more vulnerable if macro risks tied to gas prices escalate meaningfully. Performance of MSCI Europe (MXMU) Energy vs Financials and Industrials has closely tracked TTF prices YTD, and we expect the pair to extend gains if TTF prices rise further.

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Goldman Sachs Global Markets Daily

Assessing Sensitivity of EM European Equities to Natural Gas Shocks

European natural gas inventories remain at relatively low levels, while the outlook for LNG supply availability is still uncertain, amid still subdued Persian Gulf export volumes owing to the US-Iran war. The re-escalation of the conflict since early July has pushed up TTF prices by 70% to above 70 EUR/Mwh. While our commodities team’s base-case forecast for 4Q26 TTF stands at EUR 53/MWh, they acknowledge that if Middle East energy exports do not normalize, Dec26 TTF prices would likely need to rise above EUR 100/MWh to materially curb LNG demand from Asia in order to meet storage requirements ahead of the winter season. Against this backdrop, we examine the sensitivity of EM equities — particularly in EMEA markets — to identify the markets and sectors that are likely to be most exposed to gas price shocks, using two approaches.

First, we model the historical sensitivity of EM equity returns to changes in natural gas prices, while controlling for key macro variables including growth, FX, rates, and global equities. Compared with other EM markets, EM European markets—particularly CEE and Greece—show the highest negative sensitivity to higher gas prices, based on one-month-forward TTF. By contrast, select Middle Eastern energy exporters appear more insulated. Given the relatively high sensitivity to TTF prices and the more localized nature of the macro shock, we focus our granular analysis on the MSCI EM EMEA (MXEE) index and its constituent markets, including CEE, Greece, Turkiye, and MENA. At the sector level, our top-down macro model reveals that EM European Banks—particularly in Poland, Hungary, and Greece—and select domestic cyclical segments remain the most negatively exposed to a spike in TTF prices, while…