Price Discovery in European Natural Gas Markets

Energy Policy, volume 61, pp. 628-634

Posted: 17 Dec 2012 Last revised: 12 Feb 2014

See all articles by Emma Schultz

Emma Schultz

Australian National University (ANU)

John Swieringa

Australian National University (ANU)

Abstract

We provide the first high-frequency investigation of price discovery within the physical and financial layers of Europe's natural gas markets.Testing not only looks at short-term return dynamics, but also considers each security's contribution to price equilibrium in the longer-term.Results show that UK natural gas futures traded on the Intercontinental Exchange display greater price discovery than physical trading at various hubs throughout Europe.

Keywords: Price discovery, information shares, natural gas

JEL Classification: G13, G14

Suggested Citation

Schultz, Emma and Swieringa, John, Price Discovery in European Natural Gas Markets. Energy Policy, volume 61, pp. 628-634. Available at SSRN: https://ssrn.com/abstract=2190197 or http://dx.doi.org/10.2139/ssrn.2190197

Emma Schultz (Contact Author)

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601
Australia

John Swieringa

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory
Australia

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