An Econometric Analysis of the Market for Natural Gas Futures*
利用协整技术检验天然气期货市场的有效性，发现期货价格与全国管网中几乎所有现货市场价格存在协整关系，但13个现货市场中有3个拒绝了市场效率假说。
This research tests a form of the efficient markets hypothesis in the, market for natural gas futures. Unlike other studies of futures markets, the test for market efficiency is conducted at numerous locations which comprise the, natural gas spot market in addition to the delivery location specified in the futures contract. Natural gas spot and futures prices are found to be nonstationary and accordingly are modeled using recently developed maximum likelihood cointegration techniques. The futures market price is found to be cointegrated with nearly all of the spot market prices across the national network of gas pipelines. The hypothesis of market efficiency can be rejected in 3 of the 13 spot markets examined.