EconPapers    
Economics at your fingertips  
 

Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices

Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi
Authors registered in the RePEc Author Service: Benoît Sévi () and Julien Chevallier ()

The Energy Journal, 2017, vol. Volume 38, issue Number 2

Abstract: As speculative flows into commodity futures are expected to link commodity prices more strongly to equity indices, we investigate whether this process also creates increased correlations amongst the commodities themselves. Considering U.S. oil and gas futures, we investigate whether common factors, derived from a large international data set of real and nominal macroeconomic variables by means of the large approximate factor models methodology, are able to explain both returns and whether, beyond these fundamental common factors, the residuals remain correlated. We further investigate a possible explanation for this residual correlation by using some proxies for trading intensity derived from CFTC publicly available data, showing most notably that the proxy for speculation in the oil market increases the oil-gas correlation. We thus identify the central role of financial activities in shaping the link between oil and gas returns.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=2883 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
Working Paper: Fundamental and Financial Influences on the Co-movement of Oil and Gas prices (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:ej38-2-bunn

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().

 
Page updated 2019-10-09
Handle: RePEc:aen:journl:ej38-2-bunn