We investigate the relationship between the Japan-Korea Marker (JKM) price of LNG, the price of Brent oil, and spot prices of fuel oil and thermal coal imported into Japan, South Korea, China, and Taiwan. We are especially interested in understanding the behavior of the JKM price and how it may reflect competition between fuels in Asia. The increasing proportion of spot and short-term trading of LNG, together with proposals to develop an LNG pricing hub in Asia with associated derivatives markets, have increased the interest in understanding how the JKM price behaves. It is also widely anticipated that imminent LNG exports from the US Gulf Coast to Asia and Europe will substantially disrupt historical pricing relationships between natural gas prices in different locations and the relationships between those prices and the price of oil. It therefore is of interest to characterize the behavior of LNG prices in Asia before these disruptions occur. Finally, our analysis has implications for the suitability of the JKM price as an alternative to oil or other spot natural gas prices for indexing long-term LNG contracts.