Abstract
This paper examines the effect of trader attention on the response of the natural gas market to weekly US Energy Information Administration announcements regarding changes in natural gas inventories. We find that lower trader attention hinders price discovery in the natural gas futures market. Based on our daily regression estimates, the market responds 74% weaker to inventory announcements released on Fridays, compared to those released on Thursdays. We attribute the findings to lower trader attention in the natural gas market on Fridays compared to other weekdays. The results remain robust after controlling for the withdrawal and injection seasons in the natural gas market.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1171-1181 |
| Number of pages | 11 |
| Journal | Journal of Futures Markets |
| Volume | 46 |
| Issue number | 7 |
| DOIs | |
| State | Published - Jul 2026 |
Bibliographical note
Publisher Copyright:© 2026 Wiley Periodicals LLC.
Keywords
- attention
- inventory announcements
- market reaction
- natural gas futures
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