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Natural Gas Futures (natural + gas_future)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Returns and volatility in the NYMEX Henry Hub natural gas futures market

OPEC ENERGY REVIEW, Issue 3 2006
Apostolos Serletis
In this paper we use autoregressive conditional heteroscedasticity-type models to investigate the determinants of returns and volatility in the New York Mercantile Exchange Henry Hub natural gas futures contract market. Using daily data for the period that natural gas has been traded on the exchange, we find significant evidence of seasonal and open interest effects in both, returns and volatility. [source]

Reversing the lead, or a series of unfortunate events?

THE JOURNAL OF FUTURES MARKETS, Issue 12 2009
Amaranth, NYMEX
A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time-varying Hasbrouck-style information shares to investigate the intertemporal and cross-sectional dynamics in price discovery. The results strongly suggest that the information share is time-dependent and contract-dependent. Floor trading dominates price discovery in the less liquid longer-maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot-month contract. We find that the floor trading information share increases significantly with realized volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130,1160, 2009 [source]

Bias and backwardation in natural gas futures prices

THE JOURNAL OF FUTURES MARKETS, Issue 3 2005
Nahid Movassagh
This paper tests the fair-game efficient-markets hypothesis for the natural gas futures prices over the period 1990 through 2003. We find evidence consistent with the Keynesian notion of normal backwardation. Regressing the future spot prices on the lagged futures prices and using the Stock-Watson (1993) procedure to correct for the correlation between the error terms and the futures prices, we find that natural gas futures are biased predictors of the corresponding future spot prices for contracts ranging from 3 to 12 months. These results cast a serious doubt on the commonly held view that natural gas futures sell at a premium over the expected future spot prices, and that this bias is due to the systematic risk of the futures price movements represented by a negative "beta." We also find evidence for the Samuelson effect. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:281,308, 2005 [source]

Natural gas prices and the gas storage report: Public news and volatility in energy futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 3 2004
Scott C. Linn
This study examines the short-term volatility of natural gas prices through an examination of the intraday prices of the nearby natural gas futures contract traded on the New York Mercantile Exchange. The influence on volatility of what many regard as a key element of the information set influencing the natural gas market is investigated. Specifically, we examine the impact on natural gas futures price volatility of the Weekly American Gas Storage Survey report compiled and issued by the American Gas Association during the period January 1, 1999 through May 3, 2002 and the subsequent weekly report compiled and issued by the U.S. Energy Information Administration after May 6, 2002. We find that the weekly gas storage report announcement was responsible for considerable volatility at the time of its release and that volatility up to 30 minutes following the announcement was also higher than normal. Aside from these results, we document pronounced price volatility in this market both at the beginning of the day and at the end of the day and offer explanations for such behavior. Our results are robust to the manner in which the mean percentage change in the futures price is estimated and to correlation of these changes both within the day and across days. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:283,313, 2004 [source]