 The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas productionSong-Zan Chiou-Wei, Scott Linn and Zhen Zhu Journal of International Money and Finance, 2014, vol. 42, issue C, 156-173 Abstract: We study the behavior of U.S. natural gas futures and spot prices on and around the weekly announcements by the U.S. Energy Information Administration of the amount of natural gas in storage. We identify an inverse empirical relation between changes in futures prices and surprises in the change in natural gas in storage and that this relation is not driven by the absolute size of the surprise. The evidence also indicates prices react first in the futures market for natural gas with that information then flowing to the spot market. Post 2005, corresponding to a period of significant increases in the production of natural gas in the United States, the response of prices to storage surprises was larger in absolute value. No evidence is found of economically meaningful reactions to the surprise other than on the date the storage news is released. The results demonstrate the importance of fundamental information in the formation of natural gas prices. Keywords: Natural gas prices; Storage news; Price response (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:42:y:2014:i:c:p:156-173 DOI: 10.1016/j.jimonfin.2013.08.009 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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