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Determinant of the Relationship between Natural Gas Prices and Leading Natural Gas Countries¡¯ Stock Exchange

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  • Meysam Azizi Kouchaksaraei
  • Hamed Movahedizadeh
  • Hoda Mohammadalikhani

Abstract

Over the recent decades, natural sources of energy have become an interesting topic to investigate for researchers. Sources of energy play a crucial role in all industrial segments such as export revenue, exchange rate and stock market. One of the major sources is natural gas which its price affects many countries¡¯ economy. This paper investigates the effect of natural gas price on the three leading natural gas exporting countries¡¯ stock market: Russia, Norway and Qatar. This paper employs monthly data observations including natural gas price and stock exchange market index on Russia, Norway and Qatar from January 2005 to November 2013. This study uses Unrestricted Vector Autoregressive model (VAR) to apply Granger Causality test, Impulse Response functions and Variance Decomposition. Findings show that there are two-way causality relationship between natural gas prices and stock exchanges of Russia and Norway, though natural gas prices affected Russia stock exchange index at 10% significance level and Norway stock exchange index at 5% significance. However, there is not causality relationship between Qatar stock exchange and natural gas prices. Moreover, outcomes of impulse response function present that natural gas price shock does not have significant impact on all three countries¡¯ stock exchange. The variance decomposition test also reinforces the results from impulse response function since Russia, Norway and Qatar¡¯s stock exchange variance are not significantly due to natural gas price.

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  • Meysam Azizi Kouchaksaraei & Hamed Movahedizadeh & Hoda Mohammadalikhani, 2016. "Determinant of the Relationship between Natural Gas Prices and Leading Natural Gas Countries¡¯ Stock Exchange," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 246-253, April.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:4:p:246-253
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    Cited by:

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    2. Godil, Danish Iqbal & Sarwat, Salman & Khan, Muhammad Kamran & Ashraf, Muhammad Sajjad & Sharif, Arshian & Ozturk, Ilhan, 2022. "How the price dynamics of energy resources and precious metals interact with conventional and Islamic Stocks: Fresh insight from dynamic ARDL approach," Resources Policy, Elsevier, vol. 75(C).
    3. Mohammad Aghaei & Amin Asadollahi & Meysam Azizi Kouchaksaraei, 2016. "Design & Development the IMC Model for Chain Store," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(5), pages 315-315, April.

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    More about this item

    Keywords

    natural gas price; stock exchange; unrestricted vector autoregressive; VAR; Russia; Qatar; Norway;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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