Information Transmission and Market Interactions across the Atlantic: An Empirical Study on the Natural Gas Market
學年 96
學期 2
發表日期 2008-04-11
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 Wan, Jer-Yuh; Kao, Chung-Wei
作品所屬單位 淡江大學經濟學系
出版者
會議名稱 2008德明財金學術研討會
會議地點 臺北市, 臺灣
摘要 This paper studies the international information transmission and market interactions in the U.S. and U.K. natural gas markets. Four 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 the four price series 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 contributes the second. Both spot markets 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 appears 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 spillover
語言 en
收錄於
會議性質 國內
校內研討會地點
研討會時間 20080411~20080411
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 2008德明財金學術研討會論文集，42頁
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