This dissertation was written as a part of the MSc in Energy Systems Program at the International Hellenic University. The present dissertation is dealing with the observation of the causal relationships in oil markets and more specifically is dealing with the observation of the causal relationships between the crude oil and natural gas prices. The econometric literature review highlights that the causality between these two variables is one-way, only crude oil causes natural gas. This opinion will be tested at the E-views Program with two different financial theories, the Granger causality and the Toda-Yamamoto. The results confirm the econometric literature review, leading to the fact that there is not bidirectional causality between these two variables, which means that only crude oil prices causes natural gas prices. Sofia Antoniadou
