Natural gas prices and stock prices: Evidence from EU-15 countries

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dc.authoridOzturk, Ilhan -- 0000-0002-6521-0901; Acaravci, Ali -- 0000-0002-6662-6175
dc.contributor.authorAcaravci, Ali
dc.contributor.authorÖztürk, İlhan
dc.contributor.authorKandir, Serkan Yilmaz
dc.date.accessioned12.07.201910:50:10
dc.date.accessioned2019-07-12T15:28:04Z
dc.date.available12.07.201910:50:10
dc.date.available2019-07-12T15:28:04Z
dc.date.issued2012
dc.departmentMeslek Yüksekokuluen_US
dc.descriptionWOS: 000308056100018en_US
dc.description.abstractThis study investigates the long-run relationship between natural gas prices and stock prices by using the Johansen and Juselius cointegration test and error-correction based Granger causality models for the EU-15 countries. We employ quarterly data covering the period from 1990:1 to 2008:1. Empirical findings suggest that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Austria, Denmark, Finland, Germany and Luxembourg. However, no relationship is found between these variables in the other ten EU-15 countries. Although we detect a significant long-run relationship between stock prices and natural gas prices, Granger causality test results imply an indirect Granger causal relationship between these two variables. In addition, we investigate the Granger causal relationship between stock returns, industrial production growth and natural gas price increase for Austria, Denmark, Finland, Germany and Luxembourg. As a result, increase in natural gas prices seem to impact industrial production growth at the first place. In turn, industrial production growth appears to affect stock returns.en_US
dc.identifier.doi10.1016/j.econmod.2012.05.006
dc.identifier.endpage1654en_US
dc.identifier.issn0264-9993
dc.identifier.issue5en_US
dc.identifier.scopus2-s2.0-84861820908
dc.identifier.scopusqualityQ1
dc.identifier.startpage1646en_US
dc.identifier.urihttps://doi.org/10.1016/j.econmod.2012.05.006
dc.identifier.urihttps://hdl.handle.net/20.500.12507/613
dc.identifier.volume29en_US
dc.identifier.wosWOS:000308056100018
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherELSEVIER SCIENCE BVen_US
dc.relation.ispartofECONOMIC MODELLING
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closeAccessen_US
dc.subjectNatural Gas Pricesen_US
dc.subjectStock Pricesen_US
dc.subjectEconomic Activityen_US
dc.subjectCointegrationen_US
dc.subjectEU-15 Countriesen_US
dc.titleNatural gas prices and stock prices: Evidence from EU-15 countries
dc.typeArticle

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