CHANGES IN DEMAND AND SUPPLY OF THE CRUDE OIL MARKET DURING THE COVID-19 PANDEMIC AND ITS EFFECTS ON THE NATURAL GAS MARKET

This study examines the optimal hedge performance between natural gas market and crude oil, ECO, gold and US-bonds markets. To calculate optimal hedge ratios and hedging effectiveness, we apply several multivariate volatility models, namely CCC, DCC, cDCC and bayesDCC. The empirical results show that crude oil is the best asset to hedge natural gas followed by gold and ECO. This is a new result relative to the existing literature on natural gas prices. Additionally, we find that the bayesDCC model has the best performance on optimal hedge ratios (OHRs) calculation in terms of hedging effectiveness. Our findings will hold important financial risk management implications and asset portfolio for those invest in natural gas market.

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The Dependence and Risk Spillover Between Energy Market and BRICS Stock Markets: A Copula-MGARCH Model Approach

Global Business Review ◽

10.1177/09721509211049123 ◽

2021 ◽

pp. 097215092110491

Author(s):

Tarek Sadraoui ◽

Rym Regaieg ◽

Sabrine Abdelghani ◽

Wajdi Moussa ◽

Nidhal Mgadmi

Keyword(s):

At Risk ◽

Natural Gas ◽

Crude Oil ◽

Stock Markets ◽

Value At Risk ◽

Energy Market ◽

Market Information ◽

Natural Gas Market ◽

Oil Markets ◽

Gas Market

The article examines the dynamic dependence structure and risk spillover between the future market of energy commodities and Brazil, Russia, India, China and South Africa (BRICS) stock markets for different market conditions. The study used copula-based multivariate GARCH model, or in short C-MGARCH model, to explore the conditional correlation by multivariate generalized autoregressive conditional heteroskedastic (MGARCH) and the remaining dependence by different copula models. Our results provide significant positive dynamic dependency among crude oil markets (natural gas market) and BRICS stock markets. We then explore the financial implications of volatility spillovers regarding portfolio risk management through an analysis of risk spillovers from energy market to BRICS countries using the value at Risk (VaR), conditional value at risk (CVaR) and delta CVaR. Our findings support the existence of significant risk spillover between crude oil markets (natural gas market) and BRICS stock markets. The presence of volatility spillover among oil prices, natural gas prices and BRICS stock market implies that oil market information (natural gas market information) enhances the volatility forecast in stock markets. Consequently, investors must take oil markets and natural gas markets into account at the time of financial portfolios structuring and in improving their hedging strategies.

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Cointegration and ARDL Specification Between the Dubai Crude Oil and the US Natural Gas Market

SSRN Electronic Journal ◽

10.2139/ssrn.3656214 ◽

2020 ◽

Author(s):

Stavros Stavroyiannis

Keyword(s):

Natural Gas ◽

Crude Oil ◽

Natural Gas Market ◽

The Us ◽

Gas Market

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Increased Share of Natural Gas Consumption Compared with other Energy Resources; Structure of Natural Gas Market Demand and Supply

Energy Economics ◽

10.3726/978-3-653-02573-6/4 ◽

2016 ◽

Keyword(s):

Natural Gas ◽

Energy Resources ◽

Market Demand ◽

Demand And Supply ◽

Natural Gas Market ◽

Gas Consumption ◽

Natural Gas Consumption ◽

Gas Market

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Finding optimal route in the Romanian natural gas network

Proceedings of the International Conference on Business Excellence ◽

10.1515/picbe-2017-0014 ◽

2017 ◽

Vol 11 (1) ◽

pp. 131-137

Author(s):

Răzvan Rădulescu ◽

Cătălina Nedelcu

Keyword(s):

Natural Gas ◽

Energy Resource ◽

Market Liquidity ◽

Complex Nature ◽

Demand And Supply ◽

Natural Gas Market ◽

Gas System ◽

System Operator ◽

Gas Market ◽

Natural Gas System

Abstract The Romanian natural gas market is still in its infancy regarding the manners in which the demand and supply match. We are frequently talking about market liquidity or about its dynamic behavior, without considering the monthly losses of the national natural gas system operator that derive from the very lack of matching the supply and demand. The present article proposes a method of overlaying the two in a manner that is feasible for the Romanian natural gas market of 2017, a method that will encapsulate the usage of OBAs (operational balancing agreements) in correlation with a model of allocating the demand and supply as a restricted all-pairs shortest path problem. Based on authors experience, five main variables will be examined: point-of-entry (location and time), volume, time and location of delivery, as well as other sets of data that are particular to this sector. This article will tackle the area of usability of OBAs between suppliers and the degrees of sustainability that such a model offers for clients, therefore the resilience of the system will be analyzed through an optimized transfer of information and accessibility to assets. Due to the complex nature of demand in energy markets and the different requirements set by clients, in which an energy resource can be requested by different sets of users, we will conceive a model that can be applied for natural gas, but also for electric energy production and industrial clients. The scope of this endeavor is to create a tool that will minimize the monthly losses of the national natural gas system operator, as well as its distributors, by allocating, in a fair and unbiased way, the responsibility of fulfilling the requested demand in a certain time unit.

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The Analysis of Natural Gas and Crude Oil Market from the Global and EU Perspective

Studia commercialia Bratislavensia ◽

10.2478/v10151-012-0004-9 ◽

2012 ◽

Vol 5 (18) ◽

pp. 282-296

Author(s):

Saleh Mothana Obadi ◽

Matej Korček

Keyword(s):

Natural Gas ◽

Crude Oil ◽

Supply And Demand ◽

Oil Market ◽

Natural Gas Development ◽

Oil And Natural Gas ◽

Gas Market ◽

The One ◽

The Impact ◽

The Eu

Abstract This paper deals with the development of the crude oil and natural gas market in the world and especially in the EU. The analysis of the mentioned energy commodities are based on time serious statistical data and legislative documents and treaties adjusting the energy market. In this paper we analyze how the natural gas and crude oil as the two energy sources that are on the one hand most important in the energy mix and on the other hand least available within the very territory of EU itself therefore meaning the largest threat to the energy security of EU countries. We focus on analyzing of development of the worlds crude oil and natural gas development as the economic environment developed during last 20 year. Then we characterize what has EU done as the reaction on this development and finally we analyze the impact on EU in terms of supply and demand for natural gas and crude oil in first decade of 21st century. We found that, in 2009, the 66 % of EU natural gas imports were from four countries (Russia, Algeria, Norway and Nigeria) and the EU crude oil imports reached about 87 %.

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