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Price discovery in energy markets

Listed author(s):
  • Shrestha, Keshab
Registered author(s):

    In this study, we empirically analyze the price discovery process in the futures and spot markets for crude oil, heating oil and natural gas using daily closing prices. We use two different information share measures that are based on the methods proposed by Gonzalo and Granger (1995) and Lien and Shrestha (2014). Both measures indicate that almost all the price discovery takes place in the futures markets for the heating oil and natural gas. However, for the crude oil, the price discovery takes place both in the futures and spot markets. As a whole, our study indicates that futures markets play an important role in the price discovery process.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0140988314001406
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    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 45 (2014)
    Issue (Month): C ()
    Pages: 229-233

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    Handle: RePEc:eee:eneeco:v:45:y:2014:i:c:p:229-233
    DOI: 10.1016/j.eneco.2014.06.007
    Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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