Dynamic speculation and efficiency in European natural gas markets during the COVID-19 and Russia-Ukraine crises

IF 10.2 2区经济学 0 ENVIRONMENTAL STUDIES

Resources Policy Pub Date : 2024-10-18 DOI:10.1016/j.resourpol.2024.105362

Mohamed Malek Belhoula , Walid Mensi , Khamis Hamed Al-Yahyaee

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引用次数: 0

Abstract

Efficiency and dynamic speculation literature focused on financial and crude oil markets whereas empirical studies on natural gas markets are limited. This study examines market efficiency and dynamic speculation in major European natural gas hubs (the Zeebrugge (ZEE) hub of Belgium, Title Transfer Facility (TTF) hub of the Netherlands, and National Balancing Point (NBP) hub of the UK) during the COVID-19 pandemic and Russia-Ukraine conflict. Using the Asymmetric multifractal detrended fluctuation analysis (A-MFDFA) and the power law exponent (PLE) approach, we show that European natural gas markets exhibit an asymmetric multifractal behavior and long-memory effects, with variations observed during crises. The ZEE hub in Belgium and the NBP hub in the UK demonstrate a higher multifractality under different trends during the COVID-19 pandemic and the Russia-Ukraine conflict, respectively. Notably, the TTF hub in the Netherlands emerges as the most efficient market during all subperiods. Moreover, our results, using the PLE approach, suggest that European gas market inefficiencies during crises can be attributed to speculative strategies that create self-perpetuating dynamics and diminish market transparency, leading to heightened risk and volatility in gas prices. Our findings underscore the need for regulatory intervention to mitigate excessive speculation and enhance transparency in gas markets. Diversifying gas supplies and fortifying European gas hubs emerge as pivotal strategies to bolster resilience and stability during crises.

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COVID-19 和俄罗斯-乌克兰危机期间欧洲天然气市场的动态投机和效率

有关效率和动态投机的文献主要集中在金融和原油市场，而对天然气市场的实证研究却很有限。本研究考察了 COVID-19 大流行和俄乌冲突期间欧洲主要天然气枢纽（比利时泽布吕赫（ZEE）枢纽、荷兰所有权转移设施（TTF）枢纽和英国国家平衡点（NBP）枢纽）的市场效率和动态投机。利用非对称多分形去趋势波动分析 (A-MFDFA) 和幂律指数 (PLE) 方法，我们表明欧洲天然气市场表现出非对称多分形行为和长记忆效应，并在危机期间观察到变化。在 COVID-19 大流行和俄乌冲突期间，比利时的 ZEE 枢纽和英国的 NBP 枢纽分别在不同趋势下表现出较高的多分形性。值得注意的是，荷兰的 TTF 中心在所有子时期都是最有效的市场。此外，我们使用 PLE 方法得出的结果表明，危机期间欧洲天然气市场的低效率可归因于投机策略，这种策略会产生自我延续的动力并降低市场透明度，从而导致天然气价格的风险和波动加剧。我们的研究结果表明，有必要进行监管干预，以减少过度投机，提高天然气市场的透明度。实现天然气供应多样化和加强欧洲天然气枢纽，是在危机期间增强复原力和稳定性的关键战略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Resources Policy ENVIRONMENTAL STUDIES-

CiteScore

13.40

自引率

23.50%

发文量

602

审稿时长

69 days

期刊介绍： Resources Policy is an international journal focused on the economics and policy aspects of mineral and fossil fuel extraction, production, and utilization. It targets individuals in academia, government, and industry. The journal seeks original research submissions analyzing public policy, economics, social science, geography, and finance in the fields of mining, non-fuel minerals, energy minerals, fossil fuels, and metals. Mineral economics topics covered include mineral market analysis, price analysis, project evaluation, mining and sustainable development, mineral resource rents, resource curse, mineral wealth and corruption, mineral taxation and regulation, strategic minerals and their supply, and the impact of mineral development on local communities and indigenous populations. The journal specifically excludes papers with agriculture, forestry, or fisheries as their primary focus.