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dc.contributor.author
Manolitzas, Apostolos
en
dc.date.accessioned
2015-06-18T09:35:40Z
dc.date.available
2015-09-27T05:57:57Z
dc.date.issued
2015-06-18
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/407
dc.rights
Default License
dc.title
On the impacts of natural gas price fluctuations on equity markets
en
heal.type
masterThesis
heal.secondaryTitle
Evidence of volatility spillovers
en
heal.keyword
Natural gas--Prices
en
heal.keyword
Renewable energy sources--Economic aspects
en
heal.keyword
Natural gas--Government policy
en
heal.keyword
Natural gas--Costs
en
heal.keyword
Dissertations, Academic
en
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Science and Technology, MSc in Energy Systems
heal.publicationDate
2013-11
heal.bibliographicCitation
Manolitzas, Apostolos, 2013, On the impacts of natural gas price fluctuations on equity markets : evidence of volatility spillovers, Master's Dissertation, International Hellenic University
en
heal.tableOfContents
1. INTRODUCTION .................................................................................................................................... 2 2. GENERAL INFORMATION FOR NATURAL GAS....................................................................................... 5 2.1. WHAT IS NATURAL GAS ........................................................................................................... 5 2.2. AREAS OF GAS PRODUCTION - STATISTICS ............................................................................. 5 2.3. GLOBAL MARKET OF GAS ........................................................................................................ 9 2.4. INTEGRATED MARKET OF GAS .............................................................................................. 10 2.5. GAS SELLING CONTRACTS – PRICE FORMATION ................................................................... 11 2.6. NATURAL GAS PRICE VOLATILITY .......................................................................................... 13 3. LITERATURE REVIEW ........................................................................................................................... 15 4. ECONOMETRIC METHODS .................................................................................................................. 27 4.1. STATIONARITY OF VARIABLES ............................................................................................... 27 4.2. COINTEGRATION ................................................................................................................... 32 4.2.A. THE APPROACH OF ENGLE -GRANGER .............................................................................. 34 4.2.B. THE JOHANSEN METHOD .................................................................................................. 35 4.4. GRANGER CAUSALITY TEST ................................................................................................... 40 4.4.A. MATHEMATICAL MODEL .................................................................................................. 40 4.5. ECONOMETRIC METHOD ...................................................................................................... 43 5. DATA ................................................................................................................................................... 46 5.1. DATA FREQUENCY ................................................................................................................. 48 5.2. TRANSFORMATION ............................................................................................................... 49 5.2.A. LOGARITHMS .................................................................................................................... 49 5.2.B. DIFFERENCES .................................................................................................................... 50 6. PRELIMINARY ANALYSIS .................................................................................................................. 51 6.1. VISUAL OBSERVATION........................................................................................................... 51 6.2. REAL PRICES .......................................................................................................................... 62 6.3. STATIONARITY TESTS............................................................................................................. 63 6.4. COINTEGRATION TESTS ......................................................................................................... 67 6.4.A. JOHANSEN TEST ................................................................................................................ 67 6.4.B. ENGLE-GRANGER TEST ...................................................................................................... 69 6.5. VEC MODEL ........................................................................................................................... 70 6.6. CAUSALITY TEST .................................................................................................................... 72 7. EMPIRICAL RESULTS ........................................................................................................................... 73 8. CONCLUSION ...................................................................................................................................... 77 APPENDIX ............................................................................................................................................... 79
en
heal.advisorName
Prof. Apergis, Nikolaos
en
heal.committeeMemberName
Prof. Apergis
en
heal.committeeMemberName
Lect. Psichoyios
en
heal.committeeMemberName
Dr. Dergiades
en
heal.academicPublisher
School of Science &Technology, Master of Science (MSc) in Energy Systems
en
heal.academicPublisherID
ihu
heal.numberOfPages
98
heal.fullTextAvailability
true


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