Natural gas prices and stock prices: Evidence from EU-15 countries


Acaravci A., ÖZTÜRK I., KANDIR S. Y.

ECONOMIC MODELLING, cilt.29, ss.1646-1654, 2012 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 29 Konu: 5
  • Basım Tarihi: 2012
  • Doi Numarası: 10.1016/j.econmod.2012.05.006
  • Dergi Adı: ECONOMIC MODELLING
  • Sayfa Sayısı: ss.1646-1654

Özet

This study investigates the long-run relationship between natural gas prices and stock prices by using the Johansen and Juselius cointegration test and error-correction based Granger causality models for the EU-15 countries. We employ quarterly data covering the period from 1990:1 to 2008:1. Empirical findings suggest that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Austria, Denmark, Finland, Germany and Luxembourg. However, no relationship is found between these variables in the other ten EU-15 countries. Although we detect a significant long-run relationship between stock prices and natural gas prices, Granger causality test results imply an indirect Granger causal relationship between these two variables. In addition, we investigate the Granger causal relationship between stock returns, industrial production growth and natural gas price increase for Austria, Denmark, Finland, Germany and Luxembourg. As a result, increase in natural gas prices seem to impact industrial production growth at the first place. In turn, industrial production growth appears to affect stock returns. (C) 2012 Elsevier B.V. All rights reserved.

This study investigates the long-run relationship between natural gas prices and stock prices by using the

Johansen and Juselius cointegration test and errorcorrection based Granger causality models for the EU15

countries. We employ quarterly data covering the period from 1990:1 to 2008:1. Empirical *ndings suggest

that there is a unique long-term equilibrium relationship between natural gas prices, industrial production

and stock prices in Austria, Denmark, Finland, Germany and Luxembourg. However, no relationship is

found between these variables in the other ten EU-15 countries. Although we detect a signi*cant long-run

relationship between stock prices and natural gas prices, Granger causality test results imply an indirect

Granger causal relationship between these two variables. In addition, we investigate the Granger causal relationship

between stock returns, industrial production growth and natural gas price increase for Austria, Denmark,

Finland, Germany and Luxembourg. As a result, increase in natural gas prices seem to impact industrial

production growth at the *rst place. In turn, industrial production growth appears to affect stock returns.