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时间:2019-03-12
《An Econometric Analysis of the Market for Natural Gas Futures.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、AnEconometricAnalysisoftheMarketforNaturalGasFuturesAuthor(s):W.DavidWallsReviewedwork(s):Source:TheEnergyJournal,Vol.16,No.1(1995),pp.71-83Publishedby:InternationalAssociationforEnergyEconomicsStableURL:http://www.jstor.org/stable/41322586.Accessed:02/12/201204:40YouruseoftheJSTORarchiveindi
2、catesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalarchive.Weuseinformationtechnologyandtoolstoincr
3、easeproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org..InternationalAssociationforEnergyEconomicsiscollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheEnergyJournal.http://www.jstor.orgThiscontentdownloadedbytheauthorizeduserfr
4、om192.168.82.211onSun,2Dec201204:40:01AMAllusesubjecttoJSTORTermsandConditionsAnEconometricAnalysisoftheMarketforNaturalGasFutures*W.DavidWalls**Thisresearchtestsaformoftheefficientmarketshypothesisinthemarketfornaturalgasfutures.Unlikeotherstudiesoffuturesmarkets,thetestformarketefficiencyis
5、conductedatnumerouslocationswhichcomprisethenaturalgasspotmarketinadditiontothedeliverylocationspecifiedinthefuturescontract.Naturalgasspotandfuturespricesarefoundtobenonstationaryandaccordinglyaremodeledusingrecentlydevelopedmaximumlikelihoodcointegrationtechniques.Thefuturesmarketpriceisfou
6、ndtobecointegratedwithnearlyallofthespotmarketpricesacrossthenationalnetworkofgaspipelines.Thehypothesisofmarketefficiencycanberejectedin3ofthe13spotmarketsexamined.INTRODUCTIONInthelastdecade,thenaturalgasindustryhasseenadramatictransformationfromahighlyregulatedindustrytoonewhichislargelyma
7、rketdriven.Inadditiontothelargenumberofspotmarketswhichhaveemerged,afuturesmarketfornaturalgashasdeveloped.Theprimarybenefitofthefuturesmarketisthatitallowsmarketparticipantstohedgetheriskofpricechangesaffectingfuturepurchasesorsales.However,
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