Abstract: “This study emprically examines the long-run relationship between stock prices and natural gas prices for Brazil, Russia, Turkey and South Africa using monthly data for the period from 1999:Q1 to 2014:Q2. The main finding of the paper is that that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Brazil, Russia, South Africa and Turkey. According to the Granger causal relationship between stock returns, industrial production growth and natural gas price increase, As a result, increase in industrial production growth seem to impact at natural gas prices the first place and stock returns appears to affect industrial production growth in the short term. The results reveal that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Brazil, Russia, Turkey and South Africa.”

Keywords: natural gas prices, stock prices, economic activity,cointegration, VECM