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hal.structure.identifier
dc.contributor.authorBunn, Derek*
hal.structure.identifier
dc.contributor.authorChevallier, Julien
HAL ID: 7536
*
hal.structure.identifier
dc.contributor.authorLe Pen, Yannick*
hal.structure.identifier
dc.contributor.authorSévi, Benoît
HAL ID: 3591
*
dc.date.accessioned2017-10-19T15:57:16Z
dc.date.available2017-10-19T15:57:16Z
dc.date.issued2017
dc.identifier.issn0195-6574
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16794
dc.language.isoenen
dc.subjectOil futuresen
dc.subjectGas futuresen
dc.subjectCommon Factorsen
dc.subjectSpeculationen
dc.subjectExcess comovementen
dc.subject.ddc333en
dc.subject.classificationjelO.O1.O13en
dc.subject.classificationjelE.E6.E60en
dc.subject.classificationjelF.F1.F18en
dc.subject.classificationjelL.L1.L13en
dc.titleFundamental and Financial Influences on the Co-movement of Oil and Gas pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenAs speculative flows into commodity futures are expected to link commodity prices more strongly to equity indices, we investigate whether this process also creates increased correlations amongst the commodities themselves. Considering U.S. oil and gas futures, we investigate whether common factors, derived from a large international data set of real and nominal macroeconomic variables by means of the large approximate factor models methodology, are able to explain both returns and whether, beyond these fundamental common factors, the residuals remain correlated. We further investigate a possible explanation for this residual correlation by using some proxies for trading intensity derived from CFTC publicly available data, showing most notably that the proxy for speculation in the oil market increases the oil-gas correlation. We thus identify the central role of financial activities in shaping the link between oil and gas returns.en
dc.relation.isversionofjnlnameThe Energy Journal
dc.relation.isversionofjnlvol38en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages201-228en
dc.relation.isversionofdoi10.5547/01956574.38.2.dbunen
dc.identifier.urlsitehttp://dx.doi.org/10.5547/01956574.38.2.dbunen
dc.contributor.countryeditoruniversityotherUNITED KINGDOM
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-07-19T13:32:02Z
hal.identifierhal-01619890*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
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