Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92969
Authors: 
Nick, Sebastian
Year of Publication: 
2013
Series/Report no.: 
EWI Working Paper 13/14
Abstract: 
In this study, the informational efficiency of the European natural gas market is analyzed by empirically investigating price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that explicitly account for nonlinearities and the low liquidityframework of the considered gas hubs. The empirical results reveal that price discovery takes place on the futures market, while the spot price subsequently follows the futures market price. Furthermore, there is empirical evidence of significant market frictions hampering intertemporal arbitrage. UK's NBP seems to be the hub at which arbitrage opportunities are exhausted most efficiently, although there is convergence in the degree of intertemporal arbitrage efficiency over time at the hubs investigated.
Subjects: 
natural gas market
informational efficiency
liquidity
nonlinear causality
threshold error correction
Kalman filter
JEL: 
Q40
Q41
G14
C58
Document Type: 
Working Paper

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