No abstract

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.

No abstract

The electricity futures market is an inevitable product from the development of electricity spot market, it is advantageous to discover the real price of electric power and reduce the risk of electricity market. In this paper, by means of the new models and methods in Econometrics, like the cointegration analysis, the error correction model, the Granger causality test, the impulse response analysis and the variance decomposition, the price discovery efficiency in the electricity futures market is empirically studied. With an example of Nordic electricity market, it can be concluded that the futures price and spot price both are a non-stationary time series, but are cointegrated, and the futures price is an unbiassed estimate of spot price, that is, the futures market satisfies the "simple efficiency" in the Nordic electricity market; there is unidirectional causality from the futures price to the spot price, in the long term the influence of futures price is greater than that of spot price on the market price, and the futures market plays an important role in the price discovery, thus achieving good price discovery efficiency in the Nordic electricity futures market. The successful operation pattern of the Nordic electricity futures market provides an important reference for the electricity financial market in other countries.Index Terms-electricity futures market, price discovery efficiency, cointegration analysis, error correction model. Xuehua Deng is currently pursuing his master degree in electrical engineering in Changsha University of Science and Technology. Her special fields of interest include planning and dispatch in electrical power system.

No abstract