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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 influence of shale gas on natural gas markets in Europe and North America
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Rusnák, Marek (referee)
This thesis studies the impact of shale gas on the integration of natural gas markets in Europe and North America. In our practical part we examine with hard data to what extent integration of natural gas markets exists in Continental Europe and North America. We suppose that the recent changes in natural gas markets have significantly influenced the international integration between North American and European continents towards less integrated natural gas markets, but have strengthened the inner integration in these areas. Our results proved integration of natural gas market in each of the intra regional levels, what is consistent with the literature done on this topic. On the other hand our methods did not prove mutual integration between these trans-Atlantic natural gas markets, just as we expected in the hypothesis of this thesis. In our modelling we apply several approaches such as the Engle- Granger cointegration test, Johansen cointegration test and Vector error correction model to formally test for cointegration, from which we can state conclusions about mutual or inner integration. We use monthly data for a period of 1997-2011. Our research is unique becuase there are only a few existing studies on this topic to date. Our empirical tests are introduced by a solid overview of shale gas,...
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