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Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns
Joint Authors
Hu, Yi-Chung
Hu, John Wei-Shan
Lin, Chien-Yu
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-13
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Medicine
Information Technology and Computer Science
Abstract EN
The aim of this paper is to examine the impact of temperature shock on both near-month and far-month natural gas and heating oil futures returns by extending the weather and storage models of the previous study.
Several notable findings from the empirical studies are presented.
First, the expected temperature shock significantly and positively affects both the near-month and far-month natural gas and heating oil futures returns.
Next, significant temperature shock has effect on both the conditional mean and volatility of natural gas and heating oil prices.
The results indicate that expected inventory surprises significantly and negatively affects the far-month natural gas futures returns.
Moreover, volatility of natural gas futures returns is higher on Thursdays and that of near-month heating oil futures returns is higher on Wednesdays than other days.
Finally, it is found that storage announcement for natural gas significantly affects near-month and far-month natural gas futures returns.
Furthermore, both natural gas and heating oil futures returns are affected more by the weighted average temperature reported by multiple weather reporting stations than that reported by a single weather reporting station.
American Psychological Association (APA)
Hu, John Wei-Shan& Hu, Yi-Chung& Lin, Chien-Yu. 2014. Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns. The Scientific World Journal،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1049684
Modern Language Association (MLA)
Hu, John Wei-Shan…[et al.]. Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns. The Scientific World Journal No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-1049684
American Medical Association (AMA)
Hu, John Wei-Shan& Hu, Yi-Chung& Lin, Chien-Yu. Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns. The Scientific World Journal. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1049684
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1049684