Özet:

This paper investigates the relationship between natural gas spot and futures prices by using threshold error correction model developed by Hansen and Seo (2002) and threshold granger causality test developed by Li (2006). We found that there is a threshold cointegration relationship between spot and futures prices of natural gas. We also found that there is partially bidirectional causality between spot and futures prices of natural gas. The evidence obtained from this paper also suggests that there is information flow between natural gas spot and future market and there is no profitable arbitrage opportunity exists.

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