资源环境科技发展态势分析平台

Russian government sanctioned the first gas trade at the Saint-Petersburg International Mercantile Exchange (SPIMEX) in 2012 as a part of the gas industry national strategy.

Federal Antimonopoly Service (FAS) proposed a reform aimed to boost competition among producers and to increase consumer welfare. The proposal included lifting of price floor regulation for Gazprom. That supposed to be a vital element of transition from the government price regulation to SPIMEX benchmark for over-the-counter (OTC) segment.

Structural reform of this scale has never happened in Russia. Furthermore, there are only descriptive studies in the existing literature. This paper aims to fill this gap by testing market efficiency in SPIMEX based on Fama's theory with the well-established model. We test the consistency of gas futures and spot prices for unbiasedness.

We imply this methodology because, in transition to exchange benchmark, it is necessary that price is formed under market forces and is not influenced by players who have market power or dominance. To make a reasonable conclusion, we supplement the simulation by relevant qualitative analysis of liquidity, price differentials between contracts, and market concentration in the exchange.

The goal of the paper is to answer whether the exchange price today can be a benchmark and substitute for the state-regulated price. Combined with qualitative analysis, we argue that the scheduled deregulation, counter-intuitively, may improve the dominance of Gazprom in the domestic market.