An econometric analysis of the market for natural gas futures

Journal Article · Sat Dec 30 23:00:00 EST 1995 · Energy Journal

OSTI ID:376901

Walls, W D ^[1]

---

1. Univ. of Hong Kong (Hong Kong)

This research tests a form of the efficient markets hypothesis in the market for natural gas futures. Unlike other studies of future 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 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. 29 refs., 1 fig., 2 tabs.

• OSTI ID: 376901
• Journal Information: Energy Journal, Journal Name: Energy Journal Journal Issue: 1 Vol. 16; ISSN ENJODN; ISSN 0195-6574
• Country of Publication: United States
• Language: English

Related Subjects

03 NATURAL GAS
CONTRACTS
ECONOMETRICS
ECONOMIC ANALYSIS
MARKETING
NATURAL GAS
PRICES
SPOT MARKET