Natural Gas and the Utility Sector Nexus in the U.S.: Quantile Connectedness and Portfolio Implications

Modeling the Excess Return of ČEZ a.s. Share

“…While in the short term, the effect of this factor may not be visible in the financial performance of the company, in the longer term it negatively affects the performance of the excess return of ČEZ a.s. shares. This inference is in agreement with the results of Pham et al (2023) and Ordu and Soytas (2016) about the time varying connection between the natural gas price and returns of utilities stocks. Regarding the role of the price of CO2 emission allowances, the estimated coefficient of this factor is very small and statistically insignificant indicating, which indicates that this factor has no impact on the excess return of ČEZ a.s. stock.…”

“…Their price is often less volatile than the overall equity markets. Hence, the performance of the stock of these companies is a main focus of researchers and practitioners and many studies on the performance of utilities stocks and the factors which can affect their returns around the globe, for example Oberndorfer (2009), McDonald (2010, Da (2017), Ji (2019), Reboredo and Ugolini (2018), Zhang (2020), andPham et al (2023). There are numerous analyses in the form of qualification theses at universities across the country on the identification of factors that can influence the price of ČEZ a.s. stock and their returns, for example Kajurová and Dvořáková (2016).…”