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Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
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Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
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The time-frequency relationship between spot and futures prices of crude oil
Tran Quang, Tuan ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
This thesis investigates the relationship between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover period January 1987-April 2015. Based on economic theory, the futures prices should be closely related to the spot price, which - in the case of crude oil market - this thesis analyses using wavelet-based approach. Main contributions of this thesis are findings in the field of time-frequency relationship of spot-futures prices of crude oil, where an alternative methodology - wavelet transformation - is used. The usage of this advanced method is also an additional contribution of this thesis because it allows us to rigorously study how co-movement (relationship) differs across frequencies/scales and time. In this thesis wavelet Coherence, wavelet bivariate correlation and relatively new method wavelet band spectral regression (WBLS) are used. This thesis brings 4 main findings. First, relationship between Futures and spot prices of crude oil is strong in all time-periods (frequencies/scales), which supports economic theory. Second and In contrary to the first finding, in the gasoline spot-futures market, we find that the relationship is strong mainly in higher scales (lower frequencies) while in lower scales (higher...
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Comovement of Stock Markets and Commodities: A Wavelet Analysis
Vavřina, Marek ; Vácha, Lukáš (advisor) ; Princ, Michael (referee)
The thesis applies the wavelet analysis to four developed stock market indices (USA, UK, Germany and Japan), four developing stock market indices (Brazil, China, India, Russia) and four commodities (Gold, Crude oil, Heating oil and Natural gas) and it aims to reveal how they comoved in the period of the Global financial crisis, which began in the USA as the Subprime mortgage crisis. Also the potential presence of contagion caused by the bankruptcy of Lehman Brothers bank is investigated. In addition the Granger causality test is applied to give a different perspective and to extend the analysis. Empirical results revealed that the wavelet correlation of stock markets and commodities differ significantly when talking about the short-term and the long-term horizon. This information can be utilized in the portfolio analysis. The wavelet analysis revealed contagion coming from the USA to the German and Brazil stock market, Crude oil and Heating oil market after the bankruptcy of Lehman Brothers. The Granger causality test indicates that there is a very strong causal relationship between stock markets and commodities and it differs at different scales.
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Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav
In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
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