Price discovery in European natural gas markets
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.
- Publication:
-
Energy Policy
- Pub Date:
- October 2013
- DOI:
- 10.1016/j.enpol.2013.06.080
- Bibcode:
- 2013EnPol..61..628S
- Keywords:
-
- Price discovery;
- Information shares;
- Natural gas