Causality between Natural Gas Prices and Stock Market Returns : Evidence From Emerging Market

HALIME TEMEL, NALIN (2014) Causality between Natural Gas Prices and Stock Market Returns : Evidence From Emerging Market. In: Second International Conference on Advances in Economics, Management and Social Study - EMS 2014, 20 - 21 December, 2014, Kuala Lumpur, Malaysia.

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Abstract

This study emprically examines the long-run relationship between stock prices and natural gas prices for Brazil, Russia, Turkey and South Africa using monthly data for the period from 1999:Q1 to 2014:Q2. The main finding of the paper is that that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Brazil, Russia, South Africa and Turkey. According to the Granger causal relationship between stock returns, industrial production growth and natural gas price increase, As a result, increase in industrial production growth seem to impact at natural gas prices the first place and stock returns appears to affect industrial production growth in the short term. The results reveal that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Brazil, Russia, Turkey and South Africa.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: natural gas prices, stock prices, economic activity,cointegration, VECM
Depositing User: Mr. John Steve
Date Deposited: 17 Apr 2019 06:35
Last Modified: 17 Apr 2019 06:35
URI: http://publications.theired.org/id/eprint/1274

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