Information transmission and market interactions across the Atlantic – an empirical study on the natural gas market
學年 97
學期 1
出版（發表）日期 2009-01-01
作品名稱 Information transmission and market interactions across the Atlantic – an empirical study on the natural gas market
作品名稱（其他語言）
著者 Kao, Chung-wei; 萬哲鈺; Wan, Jer-Yuh
單位 淡江大學經濟學系
出版者 Elsevier
著錄名稱、卷期、頁數 Energy Economics 31(1), pp.152-161
摘要 This paper studies the international information transmission and market interactions in the U.S. and U.K. natural gas markets. Three well documented approaches are used to measure the relative importance on the process of price discovery under a quadvariate system. After adjusting the effects of nonsynchronous trading prices, robust results indicate our system that includes spot and futures prices within the two countries are driven by one common factor. Information disseminates efficiently among the four markets concerned. The U.S. futures market dominates as the center for price discovery. The U.K. futures market comes as the second. The spot markets in the U.S. and U.K. are less efficient than their corresponding futures market, where the U.K. spot market contributes the least and almost zero to the price discovery process. Asymmetric volatility spillovers are found in three of the four markets. Volatility in the U.S. futures market increases with positive returns which illustrates the inverse leverage effect in most of the commodity market. Volatilities in the spot markets are negatively related to returns, which is analogous to the traditional leverage effect prevailing in most of the equity stock markets.
關鍵字 Natural gas;Price discovery;Cointegration;Common factor model;Volatility spillovers
語言 en
ISSN 0140-9883
期刊性質 國內
收錄於
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
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