Programme
MA in International Business
Keywords
Natural Gas Returns, 10-Year Treasury Yield Changes, Financial Markets.
Abstract
This study investigates the dynamic interrelationships among ConocoPhillips (COP) stock returns, natural gas prices, the S&P500 index, and changes in the U.S. 10-Year Treasury bond yield using a Vector Autoregressive (VAR) model over the period January 2020 to July 2025. Weekly data are used to estimate a VAR(4) model, allowing for lagged and contemporaneous interactions across financial and commodity markets. The variables are treated as endogenous, with the model validated through stationarity testing, Johansen cointegration analysis, and diagnostic checks.
Cholesky decomposition is employed for structural identification, with the 10-Year Treasury yield ordered as the most exogenous variable. Wild bootstrap techniques are applied to construct confidence intervals for impulse response functions (IRFs) and forecast error variance decomposition (FEVD) is used to assess the contribution of each shock to COP stock return volatility.
Results show that ConocoPhillips stock returns are primarily driven by their own lags and S&P500 movements. Natural gas returns, while central to ConocoPhillips’ operations, exhibit strong autoregressive behavior but have limited direct influence on ConocoPhillips stock returns in the short run. S&P500 returns respond significantly to shocks in both ConocoPhillips stock returns and natural gas returns, while the 10-Year Treasury yield changes exhibit only weak and delayed effects but play a key structural role in the system.
These findings highlight the asymmetrical and time-dependent nature of interactions between energy equities, commodity prices, and macro-financial indicators. The results offer actionable insights for investors, risk managers, and policymakers to understand the firm-level exposure within broader market dynamics.
Date of Award
2025
Full Publication Date
2025
Access Rights
open access
Document Type
Capstone Project
Resource Type
thesis
Digital Object Identifier (DOI)
https://doi.org/10.63227/652.299.126
Recommended Citation
Yildiz, C.
(2025) Dynamic Interactions Between Natural Gas Return, Financial Market Return, and Energy Stock Return: A VAR Analysis of Conoco Phillips. CCT College Dublin.
DOI: https://doi.org/10.63227/652.299.126