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

22 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

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10.1016/j.enpol.2013.06.080

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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.",

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Price discovery in European natural gas markets

Abstract

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