Price Discovery in European Natural Gas Markets
Energy Policy, volume 61, pp. 628-634
Posted: 17 Dec 2012 Last revised: 12 Feb 2014
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
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