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The impact of the Russia–Ukraine war on the United States natural gas futures prices

Ghadi Saad (Department of Accounting and Finance, Faculty of Business Administration and Economics, Notre Dame University Louaize, Zouk Mosbeh, Lebanon)

Kybernetes

ISSN: 0368-492X

Article publication date: 16 May 2023

Issue publication date: 30 October 2024

564

Abstract

Purpose

This paper attempts to investigate the impact of the Russia–Ukraine war on the returns and volatility of the United States (US) natural gas futures market.

Design/methodology/approach

The study uses secondary data of 996 trading day provided by the US Department of Energy and investing.com websites and applies the event study methodology in addition to the generalized autoregressive conditional heteroscedastic (GARCH) family models.

Findings

The findings from the exponential EGARCH (1,1) estimate are the best indication of a significant positive effects of the Ukraine–Russia war on the returns and volatility of the US natural gas futures prices. The cumulative abnormal returns (CARs) of the event study show that the natural gas futures prices reacted negatively but not significantly to the Russian–Ukraine war at the event date window [−1,1] and the [−15, −4] event window. CARs for the longer pre and post-event window display significant positive values and coincides with the standard finance theory for the case of the US natural gas futures over the Russia–Ukraine conflict.

Originality/value

This is the first study to examine the impact of the Russia–Ukraine war on natural gas futures prices in the United States. Thus, it provides indications on the behavior of investors in this market and proposes new empirical evidence that help in investment analyses and decisions.

Keywords

Citation

Saad, G. (2024), "The impact of the Russia–Ukraine war on the United States natural gas futures prices", Kybernetes, Vol. 53 No. 10, pp. 3430-3443. https://doi.org/10.1108/K-01-2023-0138

Publisher

:

Emerald Publishing Limited

Copyright © 2023, Emerald Publishing Limited

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