EnronOnline and Informational Efficiency in the U.S. Natural Gas Market

Donald Murry and Zhen Zhu

The Energy Journal, 2004, vol. 25, issue 2, 57-74

Abstract: We investigate the impact of the introduction and exit of EnronOnline on the efficiency of the U.S. natural gas market. In particular, we examine the natural gas market informational efficiencies by investigating the time-series properties of natural gas prices: changes in natural gas price long-term dependency, comovement of the spot and futures prices, and changes in volatility patterns in the futures prices and spot prices at representative trading hubs. We find evidence that the introduction and demise of EOL coincided with the improvement and worsening in the degree of the market informational efficiency.

Keywords: Natural gas; Market efficiency; Enron; EGARCH; US (search for similar items in EconPapers)
Date: 2004
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Journal Article: EnronOnline and Informational Efficiency in the U.S. Natural Gas Market (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:25:y:2004:i:2:p:57-74

DOI: 10.5547/ISSN0195-6574-EJ-Vol25-No2-3

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