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Price discovery in European natural gas markets

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  • Schultz, Emma
  • Swieringa, John

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.

Suggested Citation

  • Schultz, Emma & Swieringa, John, 2013. "Price discovery in European natural gas markets," Energy Policy, Elsevier, vol. 61(C), pages 628-634.
    • Handle: RePEc:eee:enepol:v:61:y:2013:i:c:p:628-634
    DOI: 10.1016/j.enpol.2013.06.080
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    3. Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).
    4. Emma Schultz & John Swieringa, 2018. "Information linkages between emission allowance and energy markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 921-935, September.
    5. de Menezes, Lilian M. & Houllier, Melanie A. & Tamvakis, Michael, 2016. "Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices," Energy Policy, Elsevier, vol. 88(C), pages 613-627.
    6. Li, Fengyun & Li, Xingmei, 2022. "An empirical analysis on regional natural gas market of China from a spatial pattern and social network perspective," Energy, Elsevier, vol. 244(PA).
    7. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    8. Popov, Maxim & Madlener, Reinhard, 2014. "Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas," FCN Working Papers 5/2014, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    9. Sebastian Nick, 2016. "The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    10. Martínez, Beatriz & Torró, Hipòlit, 2018. "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 621-636.
    11. Martínez, Beatriz & Torró, Hipòlit, 2023. "Theory of storage implications in the European natural gas market," Journal of Commodity Markets, Elsevier, vol. 29(C).
    12. Saleh Mothana Obadi & Matej Korcek, 2023. "Examining the Drivers of Natural Gas Price in Europe - Focus on the Role of Speculators," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 356-366, May.
    13. Akcora, Begum & Kandemir Kocaaslan, Ozge, 2023. "Price bubbles in the European natural gas market between 2011 and 2020," Resources Policy, Elsevier, vol. 80(C).

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