• Title/Summary/Keyword: commodity

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The Relation between the Return Rate and the Volatility of Oil Market and Natural Gas Market : Focusing on the Market of US and EU (석유시장과 천연가스시장의 수익률 및 변동성 간의 관계 : 미국과 유럽 시장을 중심으로)

  • Kim, Young-Duk;Lee, Dong-Woo
    • International Area Studies Review
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    • v.14 no.1
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    • pp.99-119
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    • 2010

  • This study explores the natural gas market and the oil market in the U.S. and the European oil market. It focuses on two kinds of analyses; one is to confirm whether there is the predictive power between spot and futures within homogeneous commodity market(or inter-heterogeneous commodity market) through Granger-causality test in terms of the return rate and the volatility. The other is to examine the spot price stabilizing effect of futures price through regression analysis. When it comes to the predictive power of inter-commodity market, there was a conflicting aspect between the return rate of spot and futures. Overall, however, its statistical significance was low. With respect to the volatility, we found that the natural gas market has little influence on the oil market unlike the predictive power of oil market on natural gas market. Concerning the return rate of the predictive power within homogeneous commodity market, we found that the return rate of spot has the predictive power on futures only in the European market. In addition, we identified that there is feedback between spot and futures in the all commodity markets regarding volatility. As a result of the spot price stabilizing effect analysis of futures price, futures volatility increased the spot volatility.