Towards dynamic approaches to energy markets: the effect of financialization.

Summary The purpose of this thesis is to study, in a context of financialization of commodity markets, certain strategies adopted by investors and their impact on volatility and excessive co-movement between energy and financial markets. To do this, three studies are proposed. The first one uses regime-switching models (MS-VAR) applied on a set of energy commodities and covers the period 1992-2017. The results suggest that during periods of high volatility, commercial agents (hedgers) play a crucial role in gas market price discovery. However, these hedging agents affect the proper functioning of other markets (oil, gasoline, fuel oil) and amplify their volatility. The second study deals with the GARCH ADCC versus GARCH DCC models on a sample of 17 countries and over the period 1997-2016. This study highlights the asymmetric effect of oil shocks on the conditional correlations of Asian and African markets, which can be explained by arbitrage activities and heterogeneous investor behavior. The third study focuses on staggered lag autoregressive models (ARDL) and reveals that after the financial crisis, and beyond macroeconomic and financial fundamentals, the index of excessive speculation explains, both in the long run and in the short run, the correlation between the oil market and the financial markets of some countries. This generates a phenomenon of excessive co-movement, and thus a financialization effect on these markets. Finally, we conclude the following: first, in times of high volatility, the gas market is a safe haven for financial investors. Second, investor behavior explains the excessive co-movement effect between the oil market and some financial markets. third, this excessive co-movement phenomenon limits the benefits of international portfolio diversification, especially during financial turbulence.