DO ARBITRAGE OPPORTUNITIES EXIST IN THE NATURAL GAS MARKET?

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TURANLI M., GÜRİŞ B., CENGİZ D., Özden Ü., BAĞDATLI KALKAN S.

Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, cilt.15, sa.29/1 (15.yıl), ss.135-143, 2016 (Hakemli Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 15 Sayı: 29/1 (15.yıl)
  • Basım Tarihi: 2016
  • Dergi Adı: Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi
  • Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.135-143
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

This paper investigates the relationship between natural gas spot and futures prices by using threshold error correction model developed by Hansen and Seo (2002) and threshold granger causality test developed by Li (2006). We found that there is a threshold cointegration relationship between spot and futures prices of natural gas. We also found that there is partially bidirectional causality between spot and futures prices of natural gas. The evidence obtained from this paper also suggests that there is information flow between natural gas spot and future market and there is no profitable arbitrage opportunity exists.