The present study examined unit roots, causality, cointegration, and efficiency of the natural gas market using the Northwest US natural gas markets as a case study. The results indicate that the natural gas market prices are stationary after the first differencing, and that spot and futures natural gas prices move in a similar direction. Spot prices tend to exert significant influence on future prices for contracts with less than one year to maturity, but futures prices influence spot prices for contracts greater than one year to maturity. There are no arbitrages opportunities for daily market prices compared with weekly and monthly market price. Differences in regional market price are integrated of order one and characterized by long-run occurrence of the law of one price. Market prices in all market hubs move in similar direction with variance between spot and futures prices declining over time. Markets exhibit high risk premium for contracts with less than one year to maturity. The efficient market hypothesis holds true only for contracts with only about a month to maturity. (C) 2011 Elsevier Ltd. All rights reserved.