EconPapers    
Economics at your fingertips  
 

An Econometric Analysis of the Market for Natural Gas Futures

W. Walls

The Energy Journal, 1995, vol. Volume16, issue Number 1, 71-84

Abstract: This research tests a form of the efficient markets hypothesis in the, market for natural gas futures. Unlike other studies of futures markets, the test for market efficiency is conducted at numerous locations which comprise the, natural gas spot market in addition to the delivery location specified in the futures contract. Natural gas spot and futures prices are found to be nonstationary and accordingly are modeled using recently developed maximum likelihood cointegration techniques. The futures market price is found to be cointegrated with nearly all of the spot market prices across the national network of gas pipelines. The hypothesis of market efficiency can be rejected in 3 of the 13 spot markets examined.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (20) Track citations by RSS feed

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=1191 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:1995v16-01-a05

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().

 
Page updated 2020-09-16
Handle: RePEc:aen:journl:1995v16-01-a05