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Price discovery in European natural gas markets

Date

Authors

Schultz, Emma

Swieringa, John

Publisher

Elsevier

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 e

Keywords

Keywords: High frequency HF; Information share; Natural gas futures; Natural gas markets; Price discovery; Commerce; Natural gas; Costs; energy market; natural gas; price dynamics; United Kingdom Information shares; Natural gas; Price discovery

URI

http://hdl.handle.net/1885/74706

Collections

ANU Research Publications

Source

Energy Policy

Type

Journal article

DOI

10.1016/j.enpol.2013.06.080

Restricted until

2037-12-31

Downloads

File

Description

01_Schultz_Price_discovery_in_European_2013.pdf (289.33 KB)

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