Information transmission and market interactions across the Atlantic — an empirical study on the natural gas market

摘要: Abstract This paper studies the international information transmission and market interactions in U.S. U.K. natural gas markets. Three well documented approaches are used to measure relative importance on process of price discovery under a quadvariate system. After adjusting effects nonsynchronous trading prices, robust results indicate our system that includes spot futures prices within two countries driven by one common factor. Information disseminates efficiently among four markets concerned. The dominates as center for discovery. comes second. less efficient than their corresponding market, where contributes least almost zero process. Asymmetric volatility spillovers found three Volatility increases with positive returns which illustrates inverse leverage effect most commodity market. Volatilities negatively related returns, is analogous traditional prevailing equity stock