Title: Maturity effect and storage announcements: the case of natural gas

Authors: Philippe Gregoire, Mathieu Boucher

Addresses: Faculte des Sciences de l'Administration, Universite Laval, Quebec, G1K 7P4, Canada. ' Faculte des Sciences de l'Administration, Universite Laval, Quebec, G1K 7P4, Canada

Abstract: This paper considers the maturity effect in the nearby natural gas futures contract while controlling for the impact of the weekly change in gas inventories as released by the USA Energy Information Administration (EIA). Using data from January 2005 until July 2007, we investigate whether the surprise created by the EIA announcement, i.e. the difference between the numbers released and what was expected by a group of analysts surveyed by Bloomberg, also has an influence on the volatility of natural gas futures prices. We also investigate whether the variance of the survey estimates has a significant influence on the futures price volatility. We find that volatility is higher on announcement days, especially when gas inventories are lower than expected. The magnitude of the surprise also has a significant impact on volatility on announcement days. The variance of the survey estimates, on the other hand, is rarely significant.

Keywords: derivatives; futures; volatility; estimates; surprises; maturity effect; storage announcements; natural gas.

DOI: 10.1504/IJBFMI.2008.020812

International Journal of Business Forecasting and Marketing Intelligence, 2008 Vol.1 No.1, pp.21 - 29

Published online: 17 Oct 2008 *

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