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Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns
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 t...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Hindawi Publishing Corporation
2014
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4122141/ https://www.ncbi.nlm.nih.gov/pubmed/25133233 http://dx.doi.org/10.1155/2014/457636 |
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author | Hu, John Wei-Shan Hu, Yi-Chung Lin, Chien-Yu |
author_facet | Hu, John Wei-Shan Hu, Yi-Chung Lin, Chien-Yu |
author_sort | Hu, John Wei-Shan |
collection | PubMed |
description | 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. |
format | Online Article Text |
id | pubmed-4122141 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2014 |
publisher | Hindawi Publishing Corporation |
record_format | MEDLINE/PubMed |
spelling | pubmed-41221412014-08-17 Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns Hu, John Wei-Shan Hu, Yi-Chung Lin, Chien-Yu ScientificWorldJournal Research Article 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. Hindawi Publishing Corporation 2014 2014-07-13 /pmc/articles/PMC4122141/ /pubmed/25133233 http://dx.doi.org/10.1155/2014/457636 Text en Copyright © 2014 John Wei-Shan Hu et al. https://creativecommons.org/licenses/by/3.0/ This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
spellingShingle | Research Article 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 |
title | Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns |
title_full | Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns |
title_fullStr | Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns |
title_full_unstemmed | Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns |
title_short | Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns |
title_sort | effect of temperature shock and inventory surprises on natural gas and heating oil futures returns |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4122141/ https://www.ncbi.nlm.nih.gov/pubmed/25133233 http://dx.doi.org/10.1155/2014/457636 |
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