Price discovery in European natural gas markets
Emma Schultz and
John Swieringa ()
Energy Policy, 2013, vol. 61, issue C, 628-634
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 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (16)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:61:y:2013:i:c:p:628-634
DOI: 10.1016/j.enpol.2013.06.080
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