Efficient Market Hypothesis and Polish Electricity Market

Since the Electricity Act from 1997, Polish energy sector has been liberalized. The introduction of an efficient electricity market was supposed to increase energy security and decrease the electricity price for final consumers. The article tests the Efficient Market Hypothesis developed by Eugene Fama to verify the development of the Polish liberalized electricity market. The analysis was performed for the Day Ahead Market which covers 22% of electricity trade on Polish Power Exchange (78% is performed through a forward market which is hard to analyze because of the diversity of the contracts). The calculations were performed in gretl, which is an open source package for econometric analysis. The results of the Efficient Market Hypothesis test show, that Polish energy market is not efficient yet. It may result from low exchange obligation and limited number of market participants.