Empirical evaluation of the efficiency of the Iberian power futures market
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Tipus de documentArticle
Data publicació2008-12
EditorSchool of Industrial and Aeronautic Engineering of Terrassa (ETSEIAT). Universitat Politècnica de Catalunya (UPC)
Condicions d'accésAccés obert
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Reconeixement-NoComercial 3.0 Espanya
Abstract
Market efficiency is analysed for the Iberian Power Futures Market and other European Power Markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium. The equilibrium price from compulsory call auctions for distribution companies within the framework of the Iberian Power Futures Market is not optimal for remuneration purposes as it seems to be slightly upward biased, though such a premium is not significant (only around 2% above the average of Settlement Prices). In the period considered (August 2006 to September 2008), monthly futures contracts behave similarly to quarterly contracts. Average risk premia have been positive in power and natural gas markets but negative in oil and coal markets. Different hypotheses are tested regarding increasing volatility with maturity and regarding Forward Risk Premium correlations (negative with variance of spot prices during delivery period and positive with skewness of spot prices during delivery period). Enlarged data sets are recommended for stronger test results. Energy markets tend to show limited levels of market efficiency. Regarding the emerging Iberian Power Futures Market, price efficiency is improved with market development and with further integration of European Regional Power Markets
CitacióCapitan Herráiz, A. Rodríguez Monroy, C. Empirical evaluation of the efficiency of the Iberian power futures market. Journal of Industrial Engineering and Management, 2008, v.1, n.2, p. 209-239
Dipòsit legalDL: B-28744-2008
ISSN2013-0953
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