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1、ANANALYSISOFTHERELATIONSHIPBETWEENELECTRICITYANDNATURAL-GASFUTURESPRICESGARYW.EMERY*QINGFENG(WILSON)LIUThisarticleanalyzestherelationshipbetweenelectricityfuturespricesandnatural-gasfuturesprices.WefindthatthedailysettlementpricesofNewYorkMercantileExchange’s(NYMEX’s)California–Or
2、egonBorder(COB)andPaloVerde(PV)electricityfuturescontractsarecointegratedwiththepricesofitsnatural-gasfuturescontract.Thecoefficientofnatural-gasfuturespricesinourmodelofCOBelectricityfuturespricesisnotsignificantlydifferentfromthecoefficientofgaspricesinourmodelofPVelectricityalth
3、oughtherearedifferencesintheproductionofelectric-ityinthesetwoserviceareas.Thecoefficientsinourmodeldoreflectdif-ferencesintheconsumptionofelectricityintheCOBandPVserviceTheauthorsthankGeorgeWang,seminarparticipantsattheUniversityofOklahoma,andtheref-ereesfortheircommentsonearlierd
4、rafts.G.W.EmeryacknowledgesfinancialsupportfromNationalScienceFoundationGrantEEC-9980235.*Correspondenceauthor,ProfessorofFinance,MichaelF.PriceCollegeofBusiness,UniversityofOklahoma,307WestBrooks,Room205A,Norman,Oklahoma73019-4005;e-mail:gwemery@ou.eduReceivedAugust2000;Accepted
5、August2001GaryW.EmeryisaProfessorofFinanceandHaroldS.CookseyLecturerinRiskManagementatMichaelF.PriceCollegeofBusinessattheUniversityofOklahomainNorman,Oklahoma.Qingfeng(Wilson)LiuisanAssistantProfessorofFinanceatWhiteheadCollegeattheUniversityofRedlands.TheJournalofFuturesMarke
6、ts,Vol.22,No.2,95–122(2002)©2002byJohnWiley&Sons,Inc.96EmeryandLiuareas,however.Ourtrading-rulesimulationsindicatethatthestatisticallysignificantmeanreversionfoundintherelationshipbetweenelectricityandnatural-gasfuturespricesalsoiseconomicallysignificantinbothin-sampleandout-of-sam
7、pletests.©2002JohnWiley&Sons,Inc.JrlFutMark22:95–122,2002INTRODUCTIONIntercommodityfuturesspreadsoftenareconstructedfromfuturescon-tractsoncommoditiesthatarerelatedtooneanotherthroughaproduc-tionprocess.Forexample,refinersbuycrudeoil,processitinacatalyticconverter,andselltheresult
8、ingproducts,includinggasolineandheatingo
