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Nick, Sebastian (2016). The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage. Energy J., 37 (2). S. 1 - 31. CLEVELAND: INT ASSOC ENERGY ECONOMICS. ISSN 1944-9089

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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 accounting for non-linearities induced by the low liquidity-framework and by technical constraints of the considered gas hubs are specified. The empirical results reveal that price discovery generally takes place on the futures market. Thus, the futures market seems to be more informationally efficient than the spot market. The theory of storage seems to hold at all hubs in the long run. There is empirical evidence of significant market frictions hampering intertemporal arbitrage. UK's NBP and Austria's CEGH seem to be the hubs 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.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Nick, Sebastian UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-280065
DOI:	10.5547/01956574.37.2.snic
Journal or Publication Title:	Energy J.
Volume:	37
Number:	2
Page Range:	S. 1 - 31
Date:	2016
Publisher:	INT ASSOC ENERGY ECONOMICS
Place of Publication:	CLEVELAND
ISSN:	1944-9089
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language CRUDE-OIL SPOT; FUTURES PRICES; GRANGER CAUSALITY; COINTEGRATION; DISCOVERY; PREMIUMS; MARKETS Multiple languages Economics; Energy & Fuels; Environmental Studies Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/28006