Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns
Table 1
Results for ADF test.
(a)
Natural gas model
ADF statistics-original series
PP statistics-original series
Variables
Lag term
w/constant w/o time trend
w/constant & w/time trend
Lag term
w/constant w/o time trend
w/constant & w/time trend
RET
0
−31.7562***
−31.7437***
4
−31.7534***
−31.7411***
RET
0
−33.1140***
−33.1049***
1
−33.1135***
−33.1043***
6
−7.3796***
−7.3917***
37
−5.7894***
−5.8117***
9
−5.9611***
−6.0443***
21
−5.6500***
−5.7281***
EINVN
5
−6.0680***
−6.3519***
17
−7.4740***
−7.7667***
DJ
0
−33.7349***
−33.7173***
1
−33.7367***
−33.7191***
(b)
Heating oil model
ADF statistics-original series
PP statistics-original series
Variables
Lag term
w/constant w/o time trend
w/constant & w/time trend
Lag term
w/constant w/o time trend
w/constant & w/time trend
RET
0
−33.4204***
−33.4068***
7
−33.4627***
−33.4494***
RET
0
−33.4655***
−33.4534***
9
−33.5213***
−33.5103***
6
−7.5365***
−7.8002***
26
−5.3673***
−5.5103***
6
−8.0559***
−8.3002***
26
−5.4189***
−5.5319***
EINVH
5
−6.5395***
−6.5298***
10
−7.1929***
−7.1846***
DJ
0
−33.7270***
−33.7095***
1
−33.7282***
−33.7107***
1% significance level; 5% significance level; 10% significance level; RET: natural gas near-month futures return; RET: natural gas far-month futures return; RET: heating oil near-month futures return; RET: heating oil far-month futures return; : expected temperature shock for natural gas reported by single weather reporting station; : expected weighted average temperature shock for natural gas reported by four weather reporting stations; : expected temperature shock for heating oil reported by one weather reporting station; : expected weighted average temperature shock for heating oil reported by four weather reporting stations; EINVN: expected inventory shock for natural gas; EINVH: expected inventory shock for heating oil; DJ: Dow Jones industrial index.
