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

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.

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Energy Specializations: Energy Investment and Finance – Trading Strategies and Financial Instruments; Natural Gas – Markets and Prices; Natural Gas – Policy and Regulation

JEL Codes:
G13 - Contingent Pricing; Futures Pricing; option pricing
L13 - Oligopoly and Other Imperfect Markets
E60 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General

Keywords: Natural gas, Market efficiency, Enron, EGARCH, US

DOI: 10.5547/ISSN0195-6574-EJ-Vol25-No2-3

Published in Volume 25, Number 2 of The Quarterly Journal of the IAEE's Energy Economics Education Foundation.