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Is there a bubble in the shale gas market?

Haijun Yang, Xin Han and Li Wang

Energy, 2021, vol. 215, issue PA

Abstract: In this paper, we investigate the existence of bubbles in the shale gas sector. We construct a shale gas index to reflect the market’s expectations for the future growth of the shale gas and separate the shale gas spot price from the spot market to reflect current demand. The results from the Generalized Supremum Augmented Dickey-Fuller and Supremum Kapetanios, Shin and Snell test show strong evidence of multiple episodes of the explosive phenomenon in the shale gas sector. Moreover, we set up the date stamp at both the outset and the end of these explosive behaviors. We find the bubbles are inconsistent with the natural gas spot price and WTI crude oil price. For shale gas, our empirical results present that there is a similar trend among the futures market, stock market, and the spot market. Moreover, in the whole energy market, the explosive bubble behavior which we find in the shale gas sector before 2009 is consistent with the natural gas and crude oil prices, which verifies the shale gas price coherence with other main energy productions.

Keywords: GSAD test; Sup KSS test; Bubbles; Shale gas (search for similar items in EconPapers)
JEL-codes: C22 C52 Q43 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:215:y:2021:i:pa:s0360544220322088

DOI: 10.1016/j.energy.2020.119101

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