Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/188379 
Year of Publication: 
2008
Citation: 
[Journal:] Journal of Industrial Engineering and Management (JIEM) [ISSN:] 2013-0953 [Volume:] 1 [Issue:] 2 [Publisher:] OmniaScience [Place:] Barcelona [Year:] 2008 [Pages:] 209-239
Publisher: 
OmniaScience, Barcelona
Abstract: 
Market 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.
Subjects: 
Iberian power futures market
market efficiency
forward risk premium
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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