We provide the first high-frequency investigation of price discovery within the physical and financial layers of Europe's natural gas markets.Testing not only looks at short-term return dynamics, but also considers each security's contribution to price equilibrium in the longer-term.Results show...

We provide the first high-frequency investigation of price discovery within the physical and financial layers of Europe's natural gas markets. Testing not only looks at short-term return dynamics, but also considers each security's contribution to price equilibrium in the longer-term. Results...