Price volatility across the Atlantic: the US and the European Natural Gas Markets

被引：1

作者：

Costa, Daniele ^{[1
]}

Garaffa, Rafael ^{[2
]}

Branco, David Castelo ^{[2
]}

Danko, Anthony ^{[1
]}

Fiuza, Antonio ^{[1
]}

机构：

[1] FEUP, CERENA, DEM, Oporto, Portugal

[2] Univ Fed Rio de Janeiro, PPE COPPE, Rio de Janeiro, Brazil

来源：

2017 14TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM 17) | 2017年

关键词：

international trade; natural gas industry; stock markets; LNG; ARBITRAGE; DYNAMICS;

D O I：

10.1109/EEM.2017.7981849

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

Price volatility in the natural gas markets of the United States of America and the European Union have been the subject of several studies in recent years as these markets experienced important changes. The purpose of this study is to address and discuss market factors that have influenced price behavior. For this, the annualized monthly volatility for the "Henry Hub" (US Market) and the "London Natural Gas Index" (European Market) were calculated based on daily natural gas spot prices, from 2003 to 2014. The results show the different price behaviors and allow the comparison of these two markets.

引用

页数：5

共 50 条

[1] Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets
Perifanis, Theodosios
Dagoumas, Athanasios
[J]. ENERGIES, 2018, 11 (10)
[2] Price discovery in European natural gas markets
Schultz, Emma
Swieringa, John
[J]. ENERGY POLICY, 2013, 61 : 628 - 634
[3] Forward curves, scarcity and price volatility in oil and natural gas markets
Geman, Helyette
Ohana, Steve
[J]. ENERGY ECONOMICS, 2009, 31 (04) : 576 - 585
[4] Price and volatility transmissions between natural gas, fertilizer, and corn markets
Etienne, Xiaoli Liao
Trujillo-Barrera, Andres
Wiggins, Seth
[J]. AGRICULTURAL FINANCE REVIEW, 2016, 76 (01) : 151 - 171
[5] Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit
Yang, Zhengliang
Du, Xiaoxue
Lu, Liang
Tejeda, Hernan
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (02)
[6] PRICE CONVERGENCE ACROSS NATURAL-GAS FIELDS AND CITY MARKETS
WALLS, WD
[J]. ENERGY JOURNAL, 1994, 15 (04): : 37 - 48
[7] Price volatility spillover in agricultural markets: An examination of US catfish markets
Buguk, C
Hudson, D
Hanson, T
[J]. JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS, 2003, 28 (01) : 86 - 99
[8] US gas price volatility predicted to continue
不详
[J]. PIPELINE & GAS JOURNAL, 1997, 224 (06) : 10 - 10
[9] CORRELATIONS IN PRICE CHANGES AND VOLATILITY ACROSS INTERNATIONAL STOCK MARKETS
HAMAO, Y
MASULIS, RW
NG, V
[J]. REVIEW OF FINANCIAL STUDIES, 1990, 3 (02): : 281 - 307
[10] Volatility transmission in the oil and natural gas markets
Ewing, BT
Malik, F
Ozfidan, O
[J]. ENERGY ECONOMICS, 2002, 24 (06) : 525 - 538

← 1 2 3 4 5 →