Price discovery in European natural gas markets

Emma Schultz; John Swieringa

doi:10.1016/j.enpol.2013.06.080

Price discovery in European natural gas markets

Emma Schultz^*, John Swieringa

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

20 Citations (Scopus)

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.

Original language	English
Pages (from-to)	628-634
Number of pages	7
Journal	Energy Policy
Volume	61
DOIs	https://doi.org/10.1016/j.enpol.2013.06.080
Publication status	Published - Oct 2013

Access to Document

10.1016/j.enpol.2013.06.080

Cite this

@article{8120bb5fd5614b42bfdc9b504049860a,

title = "Price discovery in European natural gas markets",

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 = "Information shares, Natural gas, Price discovery",

author = "Emma Schultz and John Swieringa",

year = "2013",

month = oct,

doi = "10.1016/j.enpol.2013.06.080",

language = "English",

volume = "61",

pages = "628--634",

journal = "Energy Policy",

issn = "0301-4215",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Price discovery in European natural gas markets

AU - Schultz, Emma

AU - Swieringa, John

PY - 2013/10

Y1 - 2013/10

N2 - 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.

AB - 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.

KW - Information shares

KW - Natural gas

KW - Price discovery

UR - http://www.scopus.com/inward/record.url?scp=84881667939&partnerID=8YFLogxK

U2 - 10.1016/j.enpol.2013.06.080

DO - 10.1016/j.enpol.2013.06.080

M3 - Article

SN - 0301-4215

VL - 61

SP - 628

EP - 634

JO - Energy Policy

JF - Energy Policy

ER -

Price discovery in European natural gas markets

Abstract

Access to Document

Other files and links

Fingerprint

Cite this