Price discovery in energy markets

Keshab Shrestha

Energy Economics, 2014, vol. 45, issue C, 229-233

Abstract: In this study, we empirically analyze the price discovery process in the futures and spot markets for crude oil, heating oil and natural gas using daily closing prices. We use two different information share measures that are based on the methods proposed by Gonzalo and Granger (1995) and Lien and Shrestha (2014). Both measures indicate that almost all the price discovery takes place in the futures markets for the heating oil and natural gas. However, for the crude oil, the price discovery takes place both in the futures and spot markets. As a whole, our study indicates that futures markets play an important role in the price discovery process.

Keywords: Unit root; Cointegration; Price discovery; Energy futures (search for similar items in EconPapers)
JEL-codes: C5 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:45:y:2014:i:c:p:229-233

DOI: 10.1016/j.eneco.2014.06.007

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