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

Abstract

PurposeThis 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/approachThe 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.FindingsThe 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/valueThis 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.

Assessing the Impact of Energy-related Sanctions on Russia and Their Consequences for Europe

“…Researchers have analyzed various aspects of the conflict's impact, offering valuable insights. Saad (2023) examined US natural gas futures prices and observed risk-averse behavior during the conflict, leading to significant positive reactions in cumulative abnormal returns (CARs) during pre-and post-event periods [15]. Nerlinger and Utz (2022) focused on energy firms' profitability, particularly in North American firms, and found positive cumulative average abnormal returns around the event date, indicating some sector resilience and positive investor expectations [16].…”