Abstract
Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a bidirectional causal relationship. Both inventory gluts and shortages have a cross-commodity effect on price volatility not only for the next-month nearby futures contract but also for the following six months' contracts.
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