Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
| Autor: | Mgr. Michal Otradovec |
|---|---|
| Rok: | 2016 - letní |
| Vedoucí: | PhDr. Mgr. Jana Gutiérrez Chvalkovská |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 82 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/154209/ |
| Abstrakt: | 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 U.S transportation in increasing extent recently. Our analysis brings important findings to decision makers, especially to short-term investors, and specifies investment horizon to maximize diversification in the long run. Findings suggest that natural gas can be used in a well-diversified portfolio during short periods. |
