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

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  • Donald Murry
  • Zhen Zhu

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.

Suggested Citation

  • Donald Murry & Zhen Zhu, 2004. "EnronOnline and Informational Efficiency in the U.S. Natural Gas Market," The Energy Journal, , vol. 25(2), pages 57-74, April.
    • Handle: RePEc:sae:enejou:v:25:y:2004:i:2:p:57-74
    DOI: 10.5547/ISSN0195-6574-EJ-Vol25-No2-3
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    References listed on IDEAS

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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
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    Cited by:

    1. Murry, Donald & Zhu, Zhen, 2008. "Asymmetric price responses, market integration and market power: A study of the U.S. natural gas market," Energy Economics, Elsevier, vol. 30(3), pages 748-765, May.
    2. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
    3. Ergen, Ibrahim & Rizvanoghlu, Islam, 2016. "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, vol. 56(C), pages 64-74.
    4. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, vol. 29(1), pages 46-63, January.

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    More about this item

    Keywords

    Natural gas; Market efficiency; Enron; EGARCH; US;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General

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