Futures trading and the storage of North American natural gas
This paper tests the theory of storage in North American natural gas markets, using the Fama and French (1988) indirect test. In particular, we test the theory's prediction that when inventory is high, large inventory responses to shocks imply roughly equal changes in spot and futures prices, whereas when inventory is low, smaller inventory responses to shocks imply larger changes in spot prices than in futures prices. Our tests on spot and futures North American natural gas prices confirm these predictions of the theory of storage. Copyright 2006 Organization of the Petroleum Exporting Countries.
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Volume (Year): 30 (2006)
Issue (Month): 1 (03)
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