Co-movement Between European and the U.S. Petroleum Stock Markets:
Comparative Analysis of Spot and Futures From 2007 to 2014

doi:10.12972/ksmer.2016.53.1.063

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2016 Vol.53, Issue 1 Preview Page Next Page

Research Paper

Co-movement Between European and the U.S. Petroleum Stock Markets: Comparative Analysis of Spot and Futures From 2007 to 2014 2007년~2014년 기간의 미국과 유럽 시장 원유 및천연가스 선･현물가격 동조화 분석: 오서연·김진수
Seoyun Oh and Jinsoo Kim

28 February 2016. pp. 63-77

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Abstract

This study assessed the causal relationship among oil and gas prices of West Texas Intermediate,Henry Hub, Brent, and National Balancing Point for both futures and spot from 2007 to 2014. We tried toinvestigate a benchmark role of those prices and make policy implications for an oil and gas hub in North-EastAsia region. Based on the results using vector autoregressive and vector error correction model, we could findthat futures prices strongly cause spot prices. In addition, European gas market moves together with the oil market,while US gas market does not.

Keywords

Oil prices

Gas prices

Price coupling

VECM

Causality analysis

본 연구에서는 국제원유가격인 미국의 West Texas Intermediate 원유 가격과 유럽의 Brent 유가, 그리고미국의 Henry Hub 가스 가격과 유럽의 National Balancing Point 가스 가격의 선물과 현물 가격을 비교하여상호 인과관계를 규명하고자 하였다. 이를 통하여 향후 동북아의 안정적 천연가스 수급을 위한 허브 구축에있어서 가스 가격 결정을 위한 국제 에너지 지표 가격의 관계를 살펴보고 정책적 함의를 이끌어 내고자 하였다.벡터자기회귀모형과 벡터오차수정모형을 이용하여 각 가격 간의 인과관계 검정을 수행한 결과, 4개의 서로 다른에너지 시장에서 선물은 현물가격을 장기적으로 강하게 인과하는 것으로 나타났다. 더불어 미국의 천연가스시장은 다른 외부 시장의 거동 양상과 낮은 상관관계를 보이는 반면, 유럽의 가스 시장은 여전히 유가에 동조하는 경향을 보였다.

키워드

원유 가격

천연가스 가격

가격 동조화

벡터오차수정모형

인과관계 분석

References

Alizadeh, H.A. and Nomikos, K.N., 2004, “Cost of carry, causality and arbitrage between oil futures and tanker freight markets,” Transportation Research Part E: Logistics and Transportation Review, Vol. 40, No. 4, pp. 297-316.
Bekiros, D.S. and Diks, G.H.C., 2008, “The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality,” Energy Economics, Vol. 30, No. 5, pp. 2673-2685.
Choi, K.H., 2010, The 4th general plan of energy and mineral resources development(2010~2019), Ministry of Knowledge Economy, Seoul, Korea.
Engle, R.F. and Granger, C.W., 1987, “Co-integration and error correction: Representation, estimation and testing,” Econometrica, Vol. 55, No. 2. pp. 251-276.
Goyal, A. and Tripathi, S., 2012, Regulations and price discovery: Oil spot and futures markets, Mumbai Working Papers 2012-16, Indira Gandhi Institute of Development Research, Mumbai.
Granger, C.W., 1969, “Investigating causal relations by econometric models and cross-spectral methods,” Journal of Econometrica, Vol. 37, No. 3, pp. 424-438.
Hwang, K.S., Kim, J., Hwang, Y.R. and Heo, E.Y., 2012, “Decoupling of international natural gas prices from crude oil prices,” Journal of the Korean Mineral and Energy Resources Engineers, Vol. 49, No. 3, pp. 338-349.
Johansen, S., 1994, “The role of the constant and linear terms in cointegration analysis of nonstationary variables,” Econometric Reviews, Vol. 13, No. 2, pp. 205-229.
Kim, Y.D. and Lee, D.W., 2010, “The relationship between the return rate and the volatility of oil market and natural gas market: Focusing on the market of US and EU,” Journal of International Region Research, Vol. 14, No. 1, pp. 99-119.
Kim, Y.O., Moon, J.Y. and Baik, S.H., 2013. Trends and implications in recent oil and gas demand and supplies worldwide: Focusing on major producers and consumers, Korea Institute for International Economic Policy, Seoul, Korea.
Korea Petroleum Association (KPA), 2015, International petroleum market and import mechanism, http://www. petroleum.or.kr/201007/infozone/knowledge/knowledge.jsp?menu=3§ion=12&htnum=12&imgnum=3. (accessed at 2015.11.15)
Lee, H.C., 2012. A research of domestic and foreign oil spot/futures' market conditions, Korea Exchange, Seoul, Korea.
Lee, K.H., Jeh, S.H. and Kang, B.G., 2013. The rise of shal gas and russia's countermeasures, Korea International Economic Policy, Seoul, Korea.
Mazighi, A.E.H., 2005, “Henry hub and national balancing point prices: What will be the international gas price reference?,” Journal of Organization of the Petroleum Exporting Countries, Vol. 29, No. 3, pp. 219-230.
Moon, G.S., 1997, “The understanding of vector autoregressive model,” Journal of the Korean Official Statistics, Vol. 2, No. 1, pp. 23-56.
Moosa, Al-Loughani, N.E., 1995, “The effectiveness of arbitrage and speculation in the crude oil futures markets,” The Journal of Future Markets, Vol. 15, No. 2, pp. 167-186.
Nicolau, M., Palomba, G. and Traini, I., 2013, Are futures prices influenced by spot prices or vice-versa? An analysis of crude oil, natural gas and gold markets, Working Paper, Universita' Politecnica delle Marche,Ancona, Italy.
Oh, S.Y. and Kim, J.S., 2013, “The effect of OECD and BRIC's GDP on base metal prices,” Journal of the Korean Mineral and Energy Resources Engineers, Vol. 50, No. 5, pp. 613-624.
Park, S.C., 2013, “A study on market entering strategies of south korea corporations in the plant market of natural gas in the eastern european countries,” Journal of the European Union Studies Association of Korea, Vol. 18, No. 1, pp. 137-173.
Pindyck, S.R., 2004, “Volatility and commodity price dynamics,” Journal of Futures Markets, Vol. 24, No. 11, pp. 1029- 1047.
Shapiro, R. and Pham, N., 2006, An analysis of spot and futures prices for natural gas: The role economic fundamentals, market structures, speculation and manipulation, Washington DC, Sonecon.
Villar, J. and F, Joutz, 2006, “The relationship between crude oil and natural gas prices,” Energy Information Administration, Office of Oil and Gas, Washington DC, October 2006.
Yoo, B.S., 2000, “Structural vector autoregressive model,” Journal of the Korea Econometric Society, Vol. 11, No. 2, pp. 87-111.
Yoon, C.H., Jo T.G., Han, S.I., 2002, “Intrady volatility and volatility spill-over effects in KTB and won/dollar futures markets,” Journal of Korea Derivatives Association, Vol. 10, No. 2, pp. 115-144.
Zellner, A., 1988, “Causality and causal laws in economics,” Journal of Economietircs, Vol. 39, No. 1-2, pp. 7-21.

Information

Publisher :The Korean Society of Mineral and Energy Resources Engineers
Publisher(Ko) :한국자원공학회
Journal Title :Journal of the Korean Society of Mineral and Energy Resources Engineers
Journal Title(Ko) :한국자원공학회지
Volume : 53
No :1
Pages :63-77
DOI :https://doi.org/10.12972/ksmer.2016.53.1.063

[1] Alizadeh, H.A. and Nomikos, K.N., 2004, “Cost of carry, causality and arbitrage between oil futures and tanker freight markets,” Transportation Research Part E: Logistics and Transportation Review, Vol. 40, No. 4, pp. 297-316.

[2] Bekiros, D.S. and Diks, G.H.C., 2008, “The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality,” Energy Economics, Vol. 30, No. 5, pp. 2673-2685.

[3] Choi, K.H., 2010, The 4th general plan of energy and mineral resources development(2010~2019), Ministry of Knowledge Economy, Seoul, Korea.

[4] Engle, R.F. and Granger, C.W., 1987, “Co-integration and error correction: Representation, estimation and testing,” Econometrica, Vol. 55, No. 2. pp. 251-276.

[5] Goyal, A. and Tripathi, S., 2012, Regulations and price discovery: Oil spot and futures markets, Mumbai Working Papers 2012-16, Indira Gandhi Institute of Development Research, Mumbai.

[6] Granger, C.W., 1969, “Investigating causal relations by econometric models and cross-spectral methods,” Journal of Econometrica, Vol. 37, No. 3, pp. 424-438.

[7] Hwang, K.S., Kim, J., Hwang, Y.R. and Heo, E.Y., 2012, “Decoupling of international natural gas prices from crude oil prices,” Journal of the Korean Mineral and Energy Resources Engineers, Vol. 49, No. 3, pp. 338-349.

[8] Johansen, S., 1994, “The role of the constant and linear terms in cointegration analysis of nonstationary variables,” Econometric Reviews, Vol. 13, No. 2, pp. 205-229.

[9] Kim, Y.D. and Lee, D.W., 2010, “The relationship between the return rate and the volatility of oil market and natural gas market: Focusing on the market of US and EU,” Journal of International Region Research, Vol. 14, No. 1, pp. 99-119.

[10] Kim, Y.O., Moon, J.Y. and Baik, S.H., 2013. Trends and implications in recent oil and gas demand and supplies worldwide: Focusing on major producers and consumers, Korea Institute for International Economic Policy, Seoul, Korea.

[11] Korea Petroleum Association (KPA), 2015, International petroleum market and import mechanism, http://www. petroleum.or.kr/201007/infozone/knowledge/knowledge.jsp?menu=3§ion=12&htnum=12&imgnum=3. (accessed at 2015.11.15)

[12] Lee, H.C., 2012. A research of domestic and foreign oil spot/futures' market conditions, Korea Exchange, Seoul, Korea.

[13] Lee, K.H., Jeh, S.H. and Kang, B.G., 2013. The rise of shal gas and russia's countermeasures, Korea International Economic Policy, Seoul, Korea.

[14] Mazighi, A.E.H., 2005, “Henry hub and national balancing point prices: What will be the international gas price reference?,” Journal of Organization of the Petroleum Exporting Countries, Vol. 29, No. 3, pp. 219-230.

[15] Moon, G.S., 1997, “The understanding of vector autoregressive model,” Journal of the Korean Official Statistics, Vol. 2, No. 1, pp. 23-56.

[16] Moosa, Al-Loughani, N.E., 1995, “The effectiveness of arbitrage and speculation in the crude oil futures markets,” The Journal of Future Markets, Vol. 15, No. 2, pp. 167-186.

[17] Nicolau, M., Palomba, G. and Traini, I., 2013, Are futures prices influenced by spot prices or vice-versa? An analysis of crude oil, natural gas and gold markets, Working Paper, Universita' Politecnica delle Marche,Ancona, Italy.

[18] Oh, S.Y. and Kim, J.S., 2013, “The effect of OECD and BRIC's GDP on base metal prices,” Journal of the Korean Mineral and Energy Resources Engineers, Vol. 50, No. 5, pp. 613-624.

[19] Park, S.C., 2013, “A study on market entering strategies of south korea corporations in the plant market of natural gas in the eastern european countries,” Journal of the European Union Studies Association of Korea, Vol. 18, No. 1, pp. 137-173.

[20] Pindyck, S.R., 2004, “Volatility and commodity price dynamics,” Journal of Futures Markets, Vol. 24, No. 11, pp. 1029- 1047.

[21] Shapiro, R. and Pham, N., 2006, An analysis of spot and futures prices for natural gas: The role economic fundamentals, market structures, speculation and manipulation, Washington DC, Sonecon.

[22] Villar, J. and F, Joutz, 2006, “The relationship between crude oil and natural gas prices,” Energy Information Administration, Office of Oil and Gas, Washington DC, October 2006.

[23] Yoo, B.S., 2000, “Structural vector autoregressive model,” Journal of the Korea Econometric Society, Vol. 11, No. 2, pp. 87-111.

[24] Yoon, C.H., Jo T.G., Han, S.I., 2002, “Intrady volatility and volatility spill-over effects in KTB and won/dollar futures markets,” Journal of Korea Derivatives Association, Vol. 10, No. 2, pp. 115-144.

[25] Zellner, A., 1988, “Causality and causal laws in economics,” Journal of Economietircs, Vol. 39, No. 1-2, pp. 7-21.

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