File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
  • Find via Find It@HKUL
Supplementary

Article: An econometric analysis of the market for natural gas futures

TitleAn econometric analysis of the market for natural gas futures
Authors
Issue Date1995
PublisherInternational Association for Energy Economics. The Journal's web site is located at http://www.iaee.org/en/publications/journal.aspx
Citation
The Energy Journal, 1995, v. 16 n. 1, p. 71-83 How to Cite?
AbstractThis research tests a form of the efficient markets hypothesis in the, market for natural gas futures. Unlike other studies of futures 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 cointegration techniques. The futures market price is found to be 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 examined.
Persistent Identifierhttp://hdl.handle.net/10722/224580
ISSN
2015 Impact Factor: 1.662
2015 SCImago Journal Rankings: 1.910

 

DC FieldValueLanguage
dc.contributor.authorWalls, WD-
dc.date.accessioned2016-04-08T03:05:42Z-
dc.date.available2016-04-08T03:05:42Z-
dc.date.issued1995-
dc.identifier.citationThe Energy Journal, 1995, v. 16 n. 1, p. 71-83-
dc.identifier.issn0195-6574-
dc.identifier.urihttp://hdl.handle.net/10722/224580-
dc.description.abstractThis research tests a form of the efficient markets hypothesis in the, market for natural gas futures. Unlike other studies of futures 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 cointegration techniques. The futures market price is found to be 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 examined.-
dc.languageeng-
dc.publisherInternational Association for Energy Economics. The Journal's web site is located at http://www.iaee.org/en/publications/journal.aspx-
dc.relation.ispartofThe Energy Journal-
dc.titleAn econometric analysis of the market for natural gas futures-
dc.typeArticle-
dc.identifier.emailWalls, WD: wdwalls@hku.hk-
dc.identifier.hkuros4524-
dc.identifier.volume16-
dc.identifier.issue1-
dc.identifier.spage71-
dc.identifier.epage83-
dc.publisher.placeUnited States-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats