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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/95640


    Title: Information Transmission and Market Interactions across the Atlantic: An Empirical Study on the Natural Gas Market
    Authors: Wan, Jer-Yuh;Kao, Chung-Wei
    Contributors: 淡江大學經濟學系
    Keywords: Natural gas;Price discovery;Cointegration;Common factor model;Volatility spillover
    Date: 2008-04
    Issue Date: 2014-02-12 18:06:59 (UTC+8)
    Abstract: 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.
    Relation: 2008德明財金學術研討會論文集，42頁
    Appears in Collections:[Graduate Institute & Department of Economics] Proceeding

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