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Price discovery in European natural gas markets

  • Schultz, Emma
  • Swieringa, John

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.

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Article provided by Elsevier in its journal Energy Policy.

Volume (Year): 61 (2013)
Issue (Month): C ()
Pages: 628-634

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Handle: RePEc:eee:enepol:v:61:y:2013:i:c:p:628-634
Contact details of provider: Web page: http://www.elsevier.com/locate/enpol

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  12. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
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