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dc.contributor.authorCapitan Herráiz, Alvaro
dc.contributor.authorRodríguez Monroy, Carlos
dc.date.accessioned2009-01-15T16:25:34Z
dc.date.available2009-01-15T16:25:34Z
dc.date.issued2008-12
dc.identifier.citationCapitan 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
dc.identifier.issn2013-0953
dc.identifier.urihttp://hdl.handle.net/2099/7061
dc.description.abstractMarket 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
dc.format.extent31 p.
dc.language.isoeng
dc.publisherSchool of Industrial and Aeronautic Engineering of Terrassa (ETSEIAT). Universitat Politècnica de Catalunya (UPC)
dc.rightsAttribution-NonCommercial 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Economia i organització d'empreses::Economia sectorial
dc.subjectÀrees temàtiques de la UPC::Energies::Aspectes econòmics
dc.subject.lcshFutures market
dc.subject.lcshEnergy market
dc.subject.otherIberian power futures market
dc.subject.otherMarket efficiency
dc.subject.otherForward risk premium
dc.titleEmpirical evaluation of the efficiency of the Iberian power futures market
dc.typeArticle
dc.subject.lemacMercat de futurs
dc.subject.lemacPolítica energètica
dc.identifier.dlDL: B-28744-2008
dc.description.peerreviewedPeer Reviewed
dc.rights.accessOpen Access
local.personalitzacitaciotrue


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