Empirical Research on Efficiency of the Electricity Futures Market
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Hongming Yang
By means of econometrics, the calculating models and methods of efficiency analysis of the electricity futures market are proposed from three aspects: the market validity, the price discovery function and the hedge function. In this paper, considering the heteroskedasticity and nonstationarity of the electricity price, the validity test method of the electricity futures market is proposed by using the variance ratio. Based on the co-integration theory, the price discovery function analysis method of the electricity futures market is proposed. In addition, based on the generalized autoregressive conditional heteroskedasticity, the hedging ratio and performance evaluation method of the electricity futures market is proposed. By the empirical research on the Nordic electricity futures market, it can be found that its operation is efficient. It satisfies the weak-form efficiency hypothesis; the futures and spot prices are co-integrated; the futures market plays a dominant role in the price discovery; the hedge reduces the risk of transaction to a certain extent; and the operation efficiency during 2000-2003 is higher than that during 1996-1999. Although there are some inefficient factors, the Nordic electricity futures market is gradually tending towards maturity.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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- Integrated Hardware System for Power Quality Disturbance Classification
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- Robust Frequency Control of Wind-Diesel Hybrid Power System Using Superconducting Magnetic Energy Storage
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