The Effect of the United States Natural Gas Fund on NYMEX Near Month Natural Gas Futures Price Volatility

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The Effect of the United States Natural Gas Fund on NYMEX Near Month Natural Gas Futures Price Volatility

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Title: The Effect of the United States Natural Gas Fund on NYMEX Near Month Natural Gas Futures Price Volatility
Author: Kastner, Jacob
Department: Haverford College. Dept. of Economics
Type: Thesis (B.A.)
Issue Date: 2010
Abstract: Price volatility in futures markets is an important statistic; volatility can be used as a tool to measure risk in the marketplace. Using intraday price volatility data for near month natural gas futures contracts, combined with established control variables, this study investigates the impact of United States Natural Gas (USNG), a natural gas futures Exchange Traded Fund (ETF), on price volatility of natural gas futures contracts. Currently, USNG is the center of controversy as the Commodity Futures Trading Commission (CFTC) considers position limits on natural gas futures holdings. The Wall Street Journal has reported that these proposed limits are designed, in part, to “tamp down volatility.” Consistent with previous literature, maturity, volume, and open interest are confirmed as controls of price volatility. More importantly, nearly all variables relating to USNG are significant, most associated with large decreases in price volatility. This study is timely and important; findings suggest that, as USNG offers stability to the natural gas futures market. The CFTC may wish to further review USNG and the ETF’s effect on volatility before implementing position limits in the natural gas futures market.
Subject: Futures market -- United States
Subject: Natural gas -- Prices -- United States
Subject: Gas industry -- United States -- Pricing
Terms of Use: http://creativecommons.org/licenses/by-nc/3.0/us/
Permanent URL: http://hdl.handle.net/10066/6075

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Kastner, Jacob. "The Effect of the United States Natural Gas Fund on NYMEX Near Month Natural Gas Futures Price Volatility". 2010. Available electronically from http://hdl.handle.net/10066/6075.

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http://creativecommons.org/licenses/by-nc/3.0/us/ Except where otherwise noted, this item's license is described as http://creativecommons.org/licenses/by-nc/3.0/us/