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The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas

Shengming Chen, Ahmed Bouteska Orcid Logo, Taimur Sharif Orcid Logo, Abedin Abedin

Resources Policy, Volume: 85, Issue: A, Start page: 103792

Swansea University Author: Abedin Abedin

  • Accepted Manuscript under embargo until: 23rd June 2026

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DOI (Published version): 10.1016/j.resourpol.2023.103792

Abstract

The major aim of this paper is to analyze the influence of the recent Russia–Ukraine war on the volatility dynamics of the natural gas market for the 1 June 2011–31 December 2022 period. Given the emergence of the S&P GSCI Natural Gas as the first most dominant energy natural gas market in the W...

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Published in: Resources Policy
ISSN: 0301-4207 1873-7641
Published: Elsevier BV 2023
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URI: https://cronfa.swan.ac.uk/Record/cronfa64240
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spelling v2 64240 2023-08-31 The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF The major aim of this paper is to analyze the influence of the recent Russia–Ukraine war on the volatility dynamics of the natural gas market for the 1 June 2011–31 December 2022 period. Given the emergence of the S&P GSCI Natural Gas as the first most dominant energy natural gas market in the World, we use the daily return data of the S&P GSCI natural gas index for the empirical analysis. As a novel approach, we apply the Volatility Ratio, a contemporary technical statistic measure, to assess the behavior of the volatility-of-volatility at different time horizons in the natural gas market. Empirical findings of this paper reveal that the volatility-of-volatility had been rapidly dying down before the war, subsequently taking a longer time to die down in the S&P GSCI natural gas index. Further, the findings imply that periods of uncertainties trigger investors’ intent to make some best possible decisions and formulate superior strategies, without necessarily displaying any herding tendency of imitating their counterparts. Being the first study to apply the new volatility ratio analysis in accomplishing the aim of this research, our findings lay an economic foundation for necessary policy formulation and interventions to safeguard the energy market investors and counteract detrimental effects on society and economy at large, in the wake of any future Black Swan events such as the Russia–Ukraine conflict and the COVID-19 pandemic. Journal Article Resources Policy 85 A 103792 Elsevier BV 0301-4207 1873-7641 Russia–Ukraine war, Energy market, Volatility ratio, Volatility-of-Volatility, Natural gas 31 8 2023 2023-08-31 10.1016/j.resourpol.2023.103792 http://dx.doi.org/10.1016/j.resourpol.2023.103792 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-09-22T16:46:01.1476052 2023-08-31T17:42:21.4476748 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Shengming Chen 1 Ahmed Bouteska 0000-0002-5710-501x 2 Taimur Sharif 0000-0002-4908-0756 3 Abedin Abedin 4 Under embargo Under embargo 2023-09-22T10:12:21.1943961 Output 515030 application/pdf Accepted Manuscript true 2026-06-23T00:00:00.0000000 Distributed under the terms of a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND 4.0). true eng https://creativecommons.org/licenses/by-nc-nd/4.0/
title The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
spellingShingle The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
Abedin Abedin
title_short The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
title_full The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
title_fullStr The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
title_full_unstemmed The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
title_sort The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Shengming Chen
Ahmed Bouteska
Taimur Sharif
Abedin Abedin
format Journal article
container_title Resources Policy
container_volume 85
container_issue A
container_start_page 103792
publishDate 2023
institution Swansea University
issn 0301-4207
1873-7641
doi_str_mv 10.1016/j.resourpol.2023.103792
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.resourpol.2023.103792
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description The major aim of this paper is to analyze the influence of the recent Russia–Ukraine war on the volatility dynamics of the natural gas market for the 1 June 2011–31 December 2022 period. Given the emergence of the S&P GSCI Natural Gas as the first most dominant energy natural gas market in the World, we use the daily return data of the S&P GSCI natural gas index for the empirical analysis. As a novel approach, we apply the Volatility Ratio, a contemporary technical statistic measure, to assess the behavior of the volatility-of-volatility at different time horizons in the natural gas market. Empirical findings of this paper reveal that the volatility-of-volatility had been rapidly dying down before the war, subsequently taking a longer time to die down in the S&P GSCI natural gas index. Further, the findings imply that periods of uncertainties trigger investors’ intent to make some best possible decisions and formulate superior strategies, without necessarily displaying any herding tendency of imitating their counterparts. Being the first study to apply the new volatility ratio analysis in accomplishing the aim of this research, our findings lay an economic foundation for necessary policy formulation and interventions to safeguard the energy market investors and counteract detrimental effects on society and economy at large, in the wake of any future Black Swan events such as the Russia–Ukraine conflict and the COVID-19 pandemic.
published_date 2023-08-31T16:46:00Z
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