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dc.contributor.author
Christofidou, Georgia
en
dc.date.accessioned
2015-06-18T13:09:37Z
dc.date.available
2015-09-27T05:58:03Z
dc.date.issued
2015-06-18
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/433
dc.rights
Default License
dc.title
The nexus between natural gas spot and futures prices. Evidence from the NYMEX market
en
heal.type
masterThesis
heal.keyword
Natural gas--Prices
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
2012-10
heal.bibliographicCitation
Christofidou, Georgia, 2012, The nexus between natural gas spot and future prices. Evidence from the NYMEX market ,Master's Dissertation, International Hellenic University
en
heal.abstract
The role of futures markets in providing an efficient price discovery mechanism has been an area of extensive empirical research. Several studies have dealt with the lead-lag relationships between spot and futures prices of commodities, with the objective of investigating the issue of market efficiency. Recent work has revealed that nonlinear structure indeed exists in spot and futures returns. These non-linearities are normally attributed to nonlinear transaction cost functions, the role of noise traders and market microstructure effects. The present dissertation study will intend to investigate the linear and nonlinear casual linkages between daily spot and futures prices for maturities of one, two, three and four months of natural gas futures. Apart from the conventional lin-ear Granger test, a non-parametric test for nonlinear causality, proposed by Diks and Panchenko (2006), is also implemented. In addition to the traditional pairwise analysis, causality will be tested while correcting for the effects of other variables. To check if any of the observed causality is strictly nonlinear in nature, the nonlinear casual rela-tionships of VECM filtered residuals will be examined. Finally, the hypothesis of non-linear non-causality will be investigated after controlling for conditional heteroskedas-ticity in the data using a GARCH-BEKK model. The empirical results are expected to provide important implications for the market participants.
en
heal.tableOfContents
ABSTRACT ................................................................................................................. III CONTENTS ................................................................................................................... V 1 INTRODUCTION ...................................................................................................... 7 2 LITERATURE ........................................................................................................... 9 2.1 FUTURES MARKETS FOR ENERGY COMMODITIES ............................................ 10 2.2 ELECTRICITY .................................................................................................... 11 2.3 CRUDE OIL ........................................................................................................ 13 2.4 NATURAL GAS .................................................................................................. 16 2.5 DISCUSSION ..................................................................................................... 18 3 METHODOLOGICAL FRAMEWORK ................................................................ 25 3.1 UNIT ROOT AND STATIONARITY TESTS ............................................................ 25 3.1.1 The augmented Dickey-Fuller test ................................................. 26 3.1.2 The Dickey-Fuller GLS test ............................................................. 27 3.1.3 The Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) Test ....... 28 3.1.4 The Bierens-Guo stationarity test ................................................... 28 3.1.5 The Zivot-Andrews unit root test ..................................................... 29 3.1.6 Lumsdaine-Papell unit root test ...................................................... 30 3.2 TESTING FOR COINTEGRATION ........................................................................ 31 3.2.1 The Engle-Granger test for cointegration ...................................... 31 3.2.2 The Phillips-Ouliaris test for cointegration..................................... 31 3.2.3 The Johansen Cointegration test .................................................... 32 3.3 VECTOR AUTO REGRESSION (VAR) AND VECTOR ERROR CORRECTION (VEC) MODELS ......................................................................................................... 32 3.4 TESTING FOR CAUSALITY ................................................................................. 34 3.4.1 The BDS independence test ........................................................... 34 3.4.2 The Toda-Yamamoto causality test ............................................... 35 3.4.3 The non-parametric Granger causality test .................................. 36 -vi- 3.4.4 The Hiemstra-Jones test ................................................................. 38 3.4.5 The Diks-Panchenko test ................................................................ 38 3.5 ARCH AND GARCH ESTIMATION .................................................................. 39 3.5.1 GARCH specification ....................................................................... 39 3.5.2 The GARCH-BEKK (1, 1) specification ......................................... 40 4 EMPIRICAL APPLICATION ................................................................................ 42 4.1 DATA SOURCES ............................................................................................... 42 4.2 DATA PLOTTING ............................................................................................... 42 4.3 STATIONARITY TESTING ................................................................................... 45 4.4 COINTEGRATION TESTING ............................................................................... 50 4.5 TESTING FOR CAUSALITY ................................................................................. 53 5 CONCLUSIONS .................................................................................................... 61 6 REFERENCES....................................................................................................... 63 APPENDIX ................................................................................................................... 68
en
heal.advisorName
Madlener, Prof. Dr. Reinhard
en
heal.committeeMemberName
Prof. Madlener
en
heal.committeeMemberName
Prof. Nomikos
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
83
heal.fullTextAvailability
true


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