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EnronOnline and Informational Efficiency in the U.S. Natural Gas Market

Donald Murry and Zhen Zhu

Year: 2004
Volume: Volume 25
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol25-No2-3
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Abstract:
We investigate the impact of the introduction and exit of EnronOnline on the efficiency of the U.S. natural gas market. In particular, we examine the natural gas market informational efficiencies by investigating the time-series properties of natural gas prices: changes in natural gas price long-term dependency, comovement of the spot and futures prices, and changes in volatility patterns in the futures prices and spot prices at representative trading hubs. We find evidence that the introduction and demise of EOL coincided with the improvement and worsening in the degree of the market informational efficiency.



Energy and Agricultural Commodity Markets Interaction: An Analysis of Crude Oil, Natural Gas, Corn, Soybean, and Ethanol Prices

Song-Zan Chiou-Wei, Sheng-Hung Chen, and Zhen Zhu

Year: 2019
Volume: Volume 40
Number: Number 2
DOI: 10.5547/01956574.40.2.schi
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Abstract:
This paper broadens the analysis of the interactions between energy and agricultural commodity markets by focusing on five major commodities: oil, natural gas, soybean, corn, and ethanol, and intends to provide more updated information regarding the degree of the connection among the markets. We estimate a DCC-MGARCH model to accommodate the dynamic and changing degree of interconnections among the five markets with respect to price levels and price volatilities. In doing so, we control for additional economic variables including oil and gas inventories, interest rate spread, exchange rate and economic activities. Our empirical evidence suggests that there are varying degrees of interconnections among the energy and agricultural commodities in the long term as well as the short term, but the interactions among the agricultural commodities and ethanol are generally higher than the interactions between oil and gas and agricultural markets. In addition, we reveal some weak evidence of commodity market speculation. The estimated conditional volatility correlations suggest that volatility spillovers among the markets were time dependent and dynamic.





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