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Vers des approches dynamiques des marchés énergétiques : effet de la financiarisation

Abstract : The object of this thesis is to study in a context of financialization of commodity markets, some strategies adopted by investors and their impact on volatility and excess co-movement between energy markets and financial markets. To this end, three studies are proposed. The first study uses the approach VAR with Switching Regime (MS-VAR) applied to energy markets during the period 1992-2017. The results suggest that during high volatility period, commercial agents (hedging agents) play a crucial role in the discovery of gas market prices. However, these agents affect the efficiency of other markets (crude oil, gasoline, heating oil) and amplify their volatilities. The second study employs GARCH ADCC versus GARCH DCC models for a sample of 17 countries and covering the period 1997-2016. This study highlights the asymmetric effect of oil shocks on the conditional correlations of the Asian and African markets, which can be explained in particular by the arbitrage activities and the heterogeneous behavior of investors. The third study focuses on Autoregressive Distributed Lag models (ARDL) and reveals that after the financial crisis, and beyond the macroeconomic and financial fundamentals, the index of excessive speculation, explains in long term as well as in short term, the correlation between oil market and some financial markets. This generates a phenomenon of excess co-movement, and therefore a financializing effect on these markets. Finally, we can conclude that : firstly, during high volatility period, gas market is a safe haven for financial investors ; secondly, the behavior of the investor explains the effect of excess co-movement between the oil market and some financial markets ; thirdly, this phenomenon of excess co-movement limits the benefits of international portfolio diversification especially during financial turbulences.
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Submitted on : Friday, April 26, 2019 - 10:46:07 AM
Last modification on : Sunday, April 28, 2019 - 1:24:07 AM


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  • HAL Id : tel-02111655, version 1



Ilef Ouriemi. Vers des approches dynamiques des marchés énergétiques : effet de la financiarisation. Economies et finances. Conservatoire national des arts et metiers - CNAM, 2018. Français. ⟨NNT : 2018CNAM1222⟩. ⟨tel-02111655⟩



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