Wimschulte, Jens (2010) The futures and forward price differential in the Nordic electricity market. ENERGY POLICY, 38 (8). pp. 4731-4733. ISSN 0301-4215,
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This note investigates price differentials between electricity forwards and portfolios of short-term futures with identical delivery periods at the Nordic Power Exchange (Nord Pool). Since both contracts are traded at the same exchange, there is no influence of, for example, different market microstructure and default risk when examining the effect of the marking-to-market of futures on the price differential. Although the prices of the futures portfolios are, on average, below the corresponding forward prices, these price differentials are, on average, not statistically significant and not economically significant when taking transaction costs into account. Given the characteristics of the electricity contracts under observation, this is consistent with the predictions of the Cox et al. (1981) model and indicates efficient pricing in the Nord Pool forward market in contrast to previous results. (C) 2010 Elsevier Ltd. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CONTRACTS; Electricity; Forwards; Futures |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 20 Jul 2020 08:28 |
| Last Modified: | 20 Jul 2020 08:28 |
| URI: | https://pred.uni-regensburg.de/id/eprint/24372 |
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