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EnronOnline and Informational Efficiency in the U.S. Natural Gas Market

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  • Donald Murry and Zhen Zhu
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Abstract

We investigate the impact of the introduction and exit of EnronOnline on the efficiency of the U.S. natural gas market. In particular, we examine the natural gas market informational efficiencies by investigating the time-series properties of natural gas prices: changes in natural gas price long-term dependency, comovement of the spot and futures prices, and changes in volatility patterns in the futures prices and spot prices at representative trading hubs. We find evidence that the introduction and demise of EOL coincided with the improvement and worsening in the degree of the market informational efficiency.

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Bibliographic Info

Article provided by International Association for Energy Economics in its journal The Energy Journal.

Volume (Year): Volume 25 (2004)
Issue (Month): Number 2 ()
Pages: 57- 74

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Handle: RePEc:aen:journl:2004v25-02-a03

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Cited by:
  1. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, vol. 29(1), pages 46-63, January.
  2. Murry, Donald & Zhu, Zhen, 2008. "Asymmetric price responses, market integration and market power: A study of the U.S. natural gas market," Energy Economics, Elsevier, vol. 30(3), pages 748-765, May.

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