Market efficiency and risk premia in short-term forward prices

被引：27

作者：

Haugom, Erik ^{[1
,2
]}

Ullrich, Carl J. ^{[3
]}

机构：

[1] Lillehammer Univ Coll, NO-2624 Lillehammer, Norway

[2] Norwegian Univ Sci & Technol, NO-7491 Trondheim, Norway

[3] Virginia Tech, Coll Business, Dept Finance Insurance & Business Law, Blacksburg, VA 24061 USA

来源：

ENERGY ECONOMICS | 2012年 / 34卷 / 06期

关键词：

Market efficiency; Unbiased forward rate hypothesis; Joint hypothesis problem; Forward prices; Electricity markets; FUTURES PRICES; ELECTRICITY; EQUILIBRIUM; STORAGE;

D O I：

10.1016/j.eneco.2012.08.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania-New Jersey-Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in electricity markets and show that recent data do not provide support for existing models. The results indicate that short-term forward prices have converged towards unbiased predictors of the subsequent spot prices. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1931 / 1941

页数：11

共 50 条

[1] Risk premia in electricity forward prices
Diko, Pavel
Lawford, Steve
Limpens, Valerie
[J]. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2006, 10 (03):
[2] SHORT-TERM INVESTMENT AND THE INFORMATIONAL EFFICIENCY OF THE MARKET
VIVES, X
[J]. REVIEW OF FINANCIAL STUDIES, 1995, 8 (01): : 125 - 160
[3] EFFICIENCY AND PREMIUMS IN THE SHORT-TERM MONEY MARKET
FILDES, RA
FITZGERALD, MD
[J]. JOURNAL OF MONEY CREDIT AND BANKING, 1980, 12 (04) : 615 - 629
[4] Short-term forecasting of electricity prices in the Colombian electricity market
Lira, F.
Munoz, C.
Nunez, F.
Cipriano, A.
[J]. IET GENERATION TRANSMISSION & DISTRIBUTION, 2009, 3 (11) : 980 - 986
[5] Short-Term Hybrid Probabilistic Forecasting Model for Electricity Market Prices
Campos, Vasco
Osorio, Gerardo
Shafie-khah, Miadreza
Lotfi, Mohamed
Catalao, Joao P. S.
[J]. 2018 TWENTIETH INTERNATIONAL MIDDLE EAST POWER SYSTEMS CONFERENCE (MEPCON), 2018, : 962 - 967
[6] SHORT-TERM GUIDE-LINE PRICES IN PIG MEAT MARKET
VIGNE, A
MAINSANT, P
RIEU, M
MICHOULIER, G
[J]. ANNALES DE ZOOTECHNIE, 1983, 32 (03): : 406 - 406
[7] The Impact of Short-term Traders on equilibrium multiplicity and Market Efficiency
Chen, Binbin
Liu, Fang
Liu, Shancun
[J]. PROCEEDINGS OF THE 38TH CHINESE CONTROL CONFERENCE (CCC), 2019, : 7984 - 7989
[8] Which institutions matter to short-term market efficiency in Japan?
Wang, Anxing
Zhou, Jimei
Chen, Tao
[J]. RESEARCH IN ECONOMICS, 2011, 65 (03) : 164 - 179
[9] Analysis of the Short-Term Efficiency of Mechanisms of the Wholesale Electricity Market
Vasin, A. A.
Daylova, E. A.
[J]. ZHURNAL NOVAYA EKONOMICHESKAYA ASSOTSIATSIYA-JOURNAL OF THE NEW ECONOMIC ASSOCIATION, 2013, (02): : 35 - 60
[10] Profitability of short-term contrarian strategies: Implications for market efficiency
Conrad, J
Gultekin, MN
Kaul, G
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1997, 15 (03) : 379 - 386

← 1 2 3 4 5 →