Sammenhengen mellom spot- og forwardpriser i gassmarkedet - en empirisk studie av Title Transfer Facility og Zeebrugge

Abstract

This master thesis studies the relationship between spot and forward prices in the European natural gas market. This is done by analyzing spot and forward prices from two large hubs in Continental Europe; namely Title Transfer Facility and Zeebrugge.

We find indications of a time-varying risk premium when using Famas (1984) framework. It is, however, hard to distinguish between the premium and the forecast error in the forward price. We do not find strong evidence of the existence of a premium, nor that the forward price is an unbiased predictor of future spot prices.

When testing the theory of storage we do not find evidence that the prices are more volatile when the basis is negative, as the theory predicts. According to the theory of storage we should also find that shocks in demand and/or supply will have less impact the longer the time to maturity. However, when testing for this we get mixed results. The findings coincide with those of Stronzik et al. (2008) and suggest market imperfections.

These hints of market imperfections are further confirmed by a regression analysis that tests the market efficiency. This regression indicates a fairly high arbitrage potential that is not being exploited. Hence, the overall market performance differs substantially from the competitive benchmark of the theory of storage.