Template-Type: ReDIF-Article 1.0
Author-Name:  Donald Murry and Zhen Zhu
Title:  EnronOnline and Informational Efficiency in the U.S. Natural Gas Market
Classification-JEL: F0
Pages: 57- 74
Volume:  Volume 25
Issue:  Number 2
Year:  2004
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. 
Handle: RePEc:aen:journl:2004v25-02-a03
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=1431
File-Format: text/html
File-Restriction: Access to full text is restricted to IAEE members and subscribers.