Background:Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock ma...Background:Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock market activity,this study investigates the impact of Brent oil price shocks on oil related stocks in Nigeria.Methods:This study uses a vector autoregressive(VAR)model with the impulse response function and the forecast variance decomposition error.Findings:The empirical evidence reveals that oil price shocks have a negative impact on Nigerian oil and gas company stocks.In theory,this situation should apply to oil importing countries and is therefore uncharacteristic of an oil exporting country like Nigeria.Conclusions:The findings suggest that oil companies operating in Nigeria should diversify their investments to protect their business from single-sector market forces,and can also embrace the advantages of outsourcing some of their operations to specialist providers to increase flexibility and reduce operating costs.Finally,for vertically integrated oil and gas companies,oil price hedging and energy risk management will be beneficial because it will mean that these companies will take a position in the crude oil futures market.This will allow for better cash flow management and flexibility.Originality/value:This study extends the existing literature in two distinct ways.First,it provides,to the best of our knowledge,the first examination of the impact of oil price shocks on stock market activities with a focus on the market returns of oil and gas companies listed in the Nigerian Stock Exchange.Second,this study uses daily data because high frequency data contain more information than lower frequency data does,and lower frequency data average out too much important information.展开更多
This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The margin...This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.展开更多
With the increasing number of quantitative models available to forecast the volatility of crude oil prices, the assessment of the relative performance of competing models becomes a critical task. Our survey of the lit...With the increasing number of quantitative models available to forecast the volatility of crude oil prices, the assessment of the relative performance of competing models becomes a critical task. Our survey of the literature revealed that most studies tend to use several performance criteria to evaluate the performance of competing forecasting models;however, models are compared to each other using a single criterion at a time, which often leads to different rankings for different criteria—A situation where one cannot make an informed decision as to which model performs best when taking all criteria into account. In order to overcome this methodological problem, Xu and Ouenniche [1] proposed a multidimensional framework based on an input-oriented radial super-efficiency Data Envelopment Analysis (DEA) model to rank order competing forecasting models of crude oil prices’ volatility. However, their approach suffers from a number of issues. In this paper, we overcome such issues by proposing an alternative framework.展开更多
After more than 30 years of rapid growth, the Chinese economy has entered the "new normal" of moderately high growth. Due to the effects of multiple factors, the international oil price has remained consiste...After more than 30 years of rapid growth, the Chinese economy has entered the "new normal" of moderately high growth. Due to the effects of multiple factors, the international oil price has remained consistently low. The low oil price has exerted critical effects on international natural gas investment. At the same time, the market-oriented price mechanism of natural gas in China is gradually taking shape; the concept of low carbon development is widely advocated; and the use of natural gas gains popularity in the city. Such factors provide great opportunities for investment in the natural gas market of China, including boiler coal-to-gas transformation, natural gas distributed energy and natural gas vehicles. However, risks also exist, such as the lower competitiveness of natural gas, its excess production capacity and dwindling consumption in some gas consumption industries, an insufficient driving force for facilitating the coal-to-gas transformation of industrial fuel users, reverse substitution of "coal in place of gas" in some enterprises, nontransparent costs of the downstream link of the natural gas price chain, and mismatches and nonsynchronous adjustments in natural gas prices and electricity prices.展开更多
This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil...This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices.Through event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some degree.Moreover,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)models.The results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk matter.This study's results coincide with the following lawsuit evidence of market manipulation.展开更多
Guided by President Xi Jinping's key speech about energy revolution— "Four Revolutions and One Cooperation"-the Chinese oil and gas industry continued to accelerate its pace of reform in 2016.China has ...Guided by President Xi Jinping's key speech about energy revolution— "Four Revolutions and One Cooperation"-the Chinese oil and gas industry continued to accelerate its pace of reform in 2016.China has deepened its supply-side structural reforms,prevented and resolved the problem of excess production capacity,increased the effective supply of clean energy such as natural gas,and formed an energy innovation system.It has pushed forward the reform of pricing mechanisms with significant adjustments in the pricing mechanisms of oil products,pipeline transportation,gas storage and gas used for fertilizer production.It has also accelerated market access reform and encouraged various investors to enter into the fields of exploration & production,pipeline transportation and crude oil imports.China has sped up the legislative process of environmental protection to promote green and low-carbon development.It has accelerated oil & gas industry institutional reform,with some provinces initiating the pilot reform of oil and gas.展开更多
By applying two nonlinear Granger causality testing methods and rolling window strat-egy to explore the relationship between speculative activities and crude oil prices,the unidirectionalGranger causality from specula...By applying two nonlinear Granger causality testing methods and rolling window strat-egy to explore the relationship between speculative activities and crude oil prices,the unidirectionalGranger causality from speculative activities to returns of crude oil prices during the high price phase isdiscovered.It is proved that speculative activities did contribute to high crude oil prices after the Asianfinancial crisis and OPEC's output cut in 1998.The unidirectional Granger causality from returns ofcrude oil prices to speculative activities is significant in general.But after 2000,with the sharp rise incrude oil prices,this unidirectional Granger causality became a complex nonlinear relationship,whichcannot be detected by any linear Granger causality test.展开更多
基金We would like to disclose that no funding was received in the process of this study.
文摘Background:Given the shale oil glut that culminated in the most recent and continuing oil price drop from June 2014 and the global financial crisis of 2008 that triggered a cyclical downturn in oil prices and stock market activity,this study investigates the impact of Brent oil price shocks on oil related stocks in Nigeria.Methods:This study uses a vector autoregressive(VAR)model with the impulse response function and the forecast variance decomposition error.Findings:The empirical evidence reveals that oil price shocks have a negative impact on Nigerian oil and gas company stocks.In theory,this situation should apply to oil importing countries and is therefore uncharacteristic of an oil exporting country like Nigeria.Conclusions:The findings suggest that oil companies operating in Nigeria should diversify their investments to protect their business from single-sector market forces,and can also embrace the advantages of outsourcing some of their operations to specialist providers to increase flexibility and reduce operating costs.Finally,for vertically integrated oil and gas companies,oil price hedging and energy risk management will be beneficial because it will mean that these companies will take a position in the crude oil futures market.This will allow for better cash flow management and flexibility.Originality/value:This study extends the existing literature in two distinct ways.First,it provides,to the best of our knowledge,the first examination of the impact of oil price shocks on stock market activities with a focus on the market returns of oil and gas companies listed in the Nigerian Stock Exchange.Second,this study uses daily data because high frequency data contain more information than lower frequency data does,and lower frequency data average out too much important information.
文摘This paper proposes a Markov-switching copula model to examine the presence of regime change in the time-varying dependence structure between oil price changes and stock market returns in six GCC countries. The marginal distributions are assumed to follow a long-memory model while the copula parameters are supposed to evolve according to the Markov-switching process. Furthermore, we estimate the Value-at-Risk (VaR) based on the proposed approach. The empirical results provide evidence of three regime changes, representing precrisis, financial crisis and post-crisis, in the dependence structure between energy and GCC stock markets. In particular, in the pre- and post-crisis regimes, there is no dependence, while in the crisis regime, there is significant tail dependence. For OPEC countries, we find lower tail dependence whereas in non-OPEC countries, we see upper tail dependence. VaR experiments show that the Markov-switching time- varying copula model performs better than the time-varying copula model.
文摘With the increasing number of quantitative models available to forecast the volatility of crude oil prices, the assessment of the relative performance of competing models becomes a critical task. Our survey of the literature revealed that most studies tend to use several performance criteria to evaluate the performance of competing forecasting models;however, models are compared to each other using a single criterion at a time, which often leads to different rankings for different criteria—A situation where one cannot make an informed decision as to which model performs best when taking all criteria into account. In order to overcome this methodological problem, Xu and Ouenniche [1] proposed a multidimensional framework based on an input-oriented radial super-efficiency Data Envelopment Analysis (DEA) model to rank order competing forecasting models of crude oil prices’ volatility. However, their approach suffers from a number of issues. In this paper, we overcome such issues by proposing an alternative framework.
基金Fund project:"Development Research Center of Oil and Gas,Sichuan"(NO.SKY17-04)
文摘After more than 30 years of rapid growth, the Chinese economy has entered the "new normal" of moderately high growth. Due to the effects of multiple factors, the international oil price has remained consistently low. The low oil price has exerted critical effects on international natural gas investment. At the same time, the market-oriented price mechanism of natural gas in China is gradually taking shape; the concept of low carbon development is widely advocated; and the use of natural gas gains popularity in the city. Such factors provide great opportunities for investment in the natural gas market of China, including boiler coal-to-gas transformation, natural gas distributed energy and natural gas vehicles. However, risks also exist, such as the lower competitiveness of natural gas, its excess production capacity and dwindling consumption in some gas consumption industries, an insufficient driving force for facilitating the coal-to-gas transformation of industrial fuel users, reverse substitution of "coal in place of gas" in some enterprises, nontransparent costs of the downstream link of the natural gas price chain, and mismatches and nonsynchronous adjustments in natural gas prices and electricity prices.
基金supported by Dr.Lu’s grants from the National Natural Science Foundation of China under Grant No.71871213Prof.Bu’s grants from the National Natural Science Foundation of China under Grant Nos.71671012 and 91846108。
文摘This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices.Through event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some degree.Moreover,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)models.The results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk matter.This study's results coincide with the following lawsuit evidence of market manipulation.
文摘Guided by President Xi Jinping's key speech about energy revolution— "Four Revolutions and One Cooperation"-the Chinese oil and gas industry continued to accelerate its pace of reform in 2016.China has deepened its supply-side structural reforms,prevented and resolved the problem of excess production capacity,increased the effective supply of clean energy such as natural gas,and formed an energy innovation system.It has pushed forward the reform of pricing mechanisms with significant adjustments in the pricing mechanisms of oil products,pipeline transportation,gas storage and gas used for fertilizer production.It has also accelerated market access reform and encouraged various investors to enter into the fields of exploration & production,pipeline transportation and crude oil imports.China has sped up the legislative process of environmental protection to promote green and low-carbon development.It has accelerated oil & gas industry institutional reform,with some provinces initiating the pilot reform of oil and gas.
基金supported by the National Natural Science Foundation of China
文摘By applying two nonlinear Granger causality testing methods and rolling window strat-egy to explore the relationship between speculative activities and crude oil prices,the unidirectionalGranger causality from speculative activities to returns of crude oil prices during the high price phase isdiscovered.It is proved that speculative activities did contribute to high crude oil prices after the Asianfinancial crisis and OPEC's output cut in 1998.The unidirectional Granger causality from returns ofcrude oil prices to speculative activities is significant in general.But after 2000,with the sharp rise incrude oil prices,this unidirectional Granger causality became a complex nonlinear relationship,whichcannot be detected by any linear Granger causality test.
