EconPapers    
Economics at your fingertips  
 

On the interdependence of natural gas and stock markets under structural breaks

Walid Ahmed ()

The Quarterly Review of Economics and Finance, 2018, vol. 67, issue C, 149-161

Abstract: This paper aims to provide an analysis of both mean and variance dynamics between natural gas and stock markets, using the gas-rich Gulf state of Qatar as a case study. The empirical investigation is conducted in the context of the modified cross-correlation function testing procedure of Hong (2001), after removing the influence of relevant regional and international factors and controlling for structural breaks in the conditional volatility process of either market. The results reveal the presence of mean and volatility spillovers from natural gas prices to stock prices in Qatar’s emerging market, with the opposite direction being denied. The speed with which the stock market absorbs and reacts to variations in gas prices turns out to be somewhat slow. The findings have important implications for investors and policymakers.

Keywords: Natural gas market; Qatar Exchange; Causality-in-mean; Causality-in-variance; Volatility breaks; Cross-correlation functions (search for similar items in EconPapers)
JEL-codes: C58 F30 G15 Q40 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976917300881
Full text for ScienceDirect subscribers only

Related works:
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:eee:quaeco:v:67:y:2018:i:c:p:149-161

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-17
Handle: RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161