The spillover effects between natural gas and crude oil markets: The correlation network analysis based on multi-scale approach

2019 ◽  
Vol 524 ◽  
pp. 306-324 ◽  
Author(s):  
Xiuming Li ◽  
Mei Sun ◽  
Cuixia Gao ◽  
Huizi He
Keyword(s):  
Network Analysis ◽  
Natural Gas ◽  
Crude Oil ◽  
Spillover Effects ◽  
Correlation Network ◽  
Multi Scale ◽  
Oil Markets

A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets

2017 ◽  
Vol 18 (6) ◽  
pp. 1465-1477 ◽  
Author(s):  
Dilip Kumar
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Value At Risk ◽  
Spillover Effects ◽  
Downside Risk ◽  
Natural Gas Markets ◽  
Oil Markets ◽  
Gas Markets ◽  
Gas Market ◽  
Upside Risk

This article examines the upside and downside risk spillover effects among crude oil (WTI and Brent) and Henry Hub natural gas markets. We consider value-at-risk (VaR) as a measure of risk and model both upside and downside 95 per cent, 99 per cent and 99.5 per cent VaR using various VaR approaches. The VaR models are evaluated using Christoffersen’s (1998) conditional coverage test and Lopez’s loss function approach to select the best-performing VaR model. Finally, we apply Hong, Liu and Wang’s (2009) approach to examine the upside and the downside risk spillover among crude oil and Henry Hub natural gas markets. We find significant two-way as well as one-way upside and downside risk spillover between WTI and Brent crude oil. Our results provide weak evidence of upside risk spillover from natural gas market to crude oil markets for 99.5 per cent VaR.

scholarly journals How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

Energies ◽  
2020 ◽  
Vol 13 (3) ◽  
pp. 727 ◽  
Author(s):  
Wenting Zhang ◽  
Xie He ◽  
Tadahiro Nakajima ◽  
Shigeyuki Hamori
Keyword(s):  
North America ◽  
Natural Gas ◽  
Crude Oil ◽  
Extreme Events ◽  
Global Financial Crisis ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Stock Indices ◽  
Current Events ◽  
Electricity Utility

Our study analyzes the return and volatility spillover among the natural gas, crude oil, and electricity utility stock indices in North America and Europe from 4 August 2009 to 16 August 2019. First, in time domain, both total return and volatility spillover are stronger in Europe than in North America. Furthermore, compared to natural gas, crude oil has a greater volatility spillover on the electricity utility stock indices in North America and Europe. Second, in frequency domain, most of the return spillover occurs in the short-term, while most of the volatility spillover occurs over a longer period. Third, the rolling analyses indicate that the return and volatility from 2009 to late 2013 remained stable in North America and Europe, which may be a result of the 2008 global financial crisis, and started to fluctuate after late 2013 due to some extreme events, indicating that extreme events can significantly influence spillover effects. Moreover, investors should monitor current events to diversify their portfolios properly and hedge their risks.

The Dependence and Risk Spillover Between Energy Market and BRICS Stock Markets: A Copula-MGARCH Model Approach

2021 ◽  
pp. 097215092110491
Author(s):  
Tarek Sadraoui ◽  
Rym Regaieg ◽  
Sabrine Abdelghani ◽  
Wajdi Moussa ◽  
Nidhal Mgadmi
Keyword(s):  
At Risk ◽  
Natural Gas ◽  
Crude Oil ◽  
Stock Markets ◽  
Value At Risk ◽  
Energy Market ◽  
Market Information ◽  
Natural Gas Market ◽  
Oil Markets ◽  
Gas Market

The article examines the dynamic dependence structure and risk spillover between the future market of energy commodities and Brazil, Russia, India, China and South Africa (BRICS) stock markets for different market conditions. The study used copula-based multivariate GARCH model, or in short C-MGARCH model, to explore the conditional correlation by multivariate generalized autoregressive conditional heteroskedastic (MGARCH) and the remaining dependence by different copula models. Our results provide significant positive dynamic dependency among crude oil markets (natural gas market) and BRICS stock markets. We then explore the financial implications of volatility spillovers regarding portfolio risk management through an analysis of risk spillovers from energy market to BRICS countries using the value at Risk (VaR), conditional value at risk (CVaR) and delta CVaR. Our findings support the existence of significant risk spillover between crude oil markets (natural gas market) and BRICS stock markets. The presence of volatility spillover among oil prices, natural gas prices and BRICS stock market implies that oil market information (natural gas market information) enhances the volatility forecast in stock markets. Consequently, investors must take oil markets and natural gas markets into account at the time of financial portfolios structuring and in improving their hedging strategies.

Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?

2021 ◽  
Author(s):  
Christian-Oliver Ewald ◽  
Erik Haugom ◽  
Gudbrand Lien ◽  
Ståle Størdal ◽  
Yuexiang Wu
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Commodity Futures ◽  
Oil Markets

scholarly journals The effects from the international crude oil returns to Asian frontier oil and gas company stock returns

2021 ◽  
Vol 5 (2) ◽  
pp. first
Author(s):  
Ngan Thi Nguyen ◽  
Nghia Trung Hoang ◽  
Vi Huynh Thuy Truong
Keyword(s):  
Sri Lanka ◽  
Crude Oil ◽  
Stock Returns ◽  
Stock Markets ◽  
Oil And Gas ◽  
Spillover Effects ◽  
Portfolio Allocation ◽  
Volatility Spillover ◽  
Oil Markets ◽  
Allocation Decisions

Asian frontier markets present compelling investment opportunities for investors seeking higher returns and low correlation with traditional assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across these markets in order to make better portfolio allocation decisions. This study investigates the magnitude of return and volatility spillovers from the international crude oil markets on the Asian frontier oil and gas stock markets. In particular, we construct mean return and volatility spillover models to discuss whether regional (DSE, CSE, HNX, HOSE) and global (ICE) market impacts are crucial for the determination of oil & gas stock returns in Bangladesh, Sri Lanka, and Vietnam by employing ARMA(1,1)-GARCH(1,1) model. Using daily returns from January 4, 2010 to December 31, 2019, the findings of this paper show that the Brent oil and WTI crude oil markets influence the Sri Lanka and Vietnamese oil and gas stock markets. WTI price changes, however, have a relatively minor impact on Sri Lanka companies. For Bangladesh, it is noticeable that none of the spillover effects is statically significant. The results are explained by different levels of the reform process in the energy sector as well as by the importance of oil in these markets. In general, these frontier markets, especially the Bangladesh and Sri Lanka may offer promising diversification benefits due to low correlations with developed equity markets. These results are important for economic policymakers and investors in understanding the magnitude of volatility spillover effects of the international crude oil on these markets. Investors can use this information to make better portfolio allocation decisions to reduce risks and enhance returns.

Analyzing the financial and economic momentum as a result of changes in the interest rate

2020 ◽  
Vol 16 (9) ◽  
pp. 1656-1673
Author(s):  
V.V. Smirnov
Keyword(s):  
Interest Rate ◽  
Natural Gas ◽  
Central Bank ◽  
Crude Oil ◽  
Oil Prices ◽  
Global Capitalism ◽  
Positive Effects ◽  
Russian Economy ◽  
Oil And Natural Gas ◽  
The Interest Rate

Subject. The article discusses financial and economic momenta. Objectives. I determine financial and economic momenta as the interest rate changes in Russia. Methods. The study is based on a systems approach and the method of statistical analysis. Results. The Russian economy was found to strongly depend on prices for crude oil and natural gas, thus throwing Russia to the outskirts of the global capitalism, though keeping the status of an energy superpower, which ensures a sustainable growth in the global economy by increasing the external consumption and decreasing the domestic one. The devaluation of the national currency, a drop in tax revenue, etc. result from the decreased interest rate. They all require to increase M2 and the devalued retail loan in RUB, thus rising the GDP deflator. As for positive effects, the Central Bank operates sustainably, replenishes gold reserves and keeps the trade balance (positive balance), thus strengthening its resilience during a global drop in crude oil prices and the COVID-19 pandemic. The positive effects were discovered to result from a decreased in the interest rate, rather than keeping it low all the time. Conclusions and Relevance. As the interest rate may be, the financial and economic momentum in Russia depends on the volatility of the price for crude oil and natural gas. Lowering the interest rate and devaluing the national currency, the Central Bank preserves the resource structure of the Russian economy, strengthens its positions within the global capitalism and keeps its status of an energy superpower, thus reinforcing its resilience against a global drop in oil prices.

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