What's the story with natural gas markets in Europe? Empirical evidence from spot trade data

Natural gas trading in Europe has changed significantly since first deregulatory measures were taken in the late 1990s. The opening of transport infrastructure to third parties and the separation of transport from other activities along the natural gas value chain have in combination with other regulatory interferences, led to the development of several trading places across Europe. We investigate the current degree of market functioning in Europe based on short term trade in different regions. We test the hypothesis if natural gas markets in Europe exhibit a significant level of integration using the Kalman filtering technique. Our results identify a significant level of integration between twelve price series with varying evolution over time.