“The Efficiency of Natural Gas Futures Markets”
| dc.contributor.author | Papaioannou, Panagiotis | en |
| dc.date.accessioned | 2017-03-30T10:07:58Z | |
| dc.date.available | 2017-03-31T00:00:11Z | |
| dc.date.issued | 2017-03-30 | |
| dc.identifier.uri | https://repository.ihu.edu.gr//xmlui/handle/11544/15205 | |
| dc.rights | Default License | |
| dc.title | “The Efficiency of Natural Gas Futures Markets” | en |
| heal.abstract | The target of this study is to investigate the pricing efficiency of natural gas futures markets across different maturities, for 1, 2, 3, 6, 9 and 12 months, and whether these tools can effectively be utilized by market participants. More specifically, the paper examines the Unbiased Expectations Hypothesis (UEH) among futures and spot prices in the natural gas market of New York Mercantile Exchange (NYMEX). The following procedures include of the use of econometric techniques which test whether or not futures prices hold as unbiased forecasts of the expected spot prices by using single regressions and cointegration analysis. Due to the presence of positive or non-constant forward premium, EGARCH models are employed which permit for time varying premium and investigating more extensively the factors that conduct to the biasedness of futures contracts for all months to maturity. Although the existence of bias, futures prices for all months to maturity are found to accurately predict the expected spot prices compared to forecasts that are produced from ARIMA and random walk models. | EN |
| heal.academicPublisher | IHU | en |
| heal.academicPublisherID | ihu | el |
| heal.access | free | el |
| heal.advisorName | Pouliasis, Panos | en |
| heal.classification | Econometrics | en |
| heal.committeeMemberName | Dergiades, Theologos | en |
| heal.committeeMemberName | Heracleous, Eleni | en |
| heal.committeeMemberName | Martinopoulos, Georgios | en |
| heal.keyword.LCSH | Natural gas | EN |
| heal.keyword.LCSH | Natural gas--Prices | EN |
| heal.keyword.LCSH | Gas industry | EN |
| heal.language | en | el |
| heal.license | http://creativecommons.org/licenses/by-nc/4.0 | el |
| heal.numberOfPages | 73 | EN |
| heal.publicationDate | 2017-03-30 | |
| heal.recordProvider | School of Science and Technology, MSc in Energy Management | el |
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| heal.tableOfContents | ABSTRACT CHAPTER 1 1 Introduction CHAPTER 2 2 Literature Review CHAPTER 3 3 METHODOLOGY 3.1 Unbiased Expectation Hypothesis 3.2 Unbiased Expectation Hypothesis and Cointegration 3.3 Time Varying Risk Premium 3.4 Forecast Error CHAPTER 4 4 Data Analysis 4.1 Price Behavior 4.2 Descriptive Statistics 4.3 Preliminary Analysis 4.3.1 Unit Root Tests 4.3.2 Cointegration Tests CHAPTER 5 5 Empirical Results 5.1 Market Efficiency of Futures Prices 5.2 Time Varying Risk Premium 5.3 Forecast Error CHAPTER 6 6 Conclusions REFERENCES | EN |
| heal.type | masterThesis | el |
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