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DOI | 10.1016/j.enpol.2017.04.024 |
Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market | |
Asan, Goksel1; Tasaltin, Kamil2,3 | |
2017-08-01 | |
发表期刊 | ENERGY POLICY |
ISSN | 0301-4215 |
EISSN | 1873-6777 |
出版年 | 2017 |
卷号 | 107 |
文章类型 | Article |
语种 | 英语 |
国家 | Turkey; England |
英文摘要 | This study analyses the price dynamics of day-ahead and real-time electricity prices following the implementation of dual-pricing legislation in Turkey, to understand the legislation's impact on arbitrage opportunities and market efficiency. The convergence of prices between the day-ahead forward and the real-time markets analysed in order to determine whether persistent price differences between the two markets exist. Arbitrage opportunities exist if there is a persistent difference between prices in the day-ahead forward and real-time market. Markets are considered to be efficient if it is not possible for market participants to earn an excess profit through exploitation of price differences. Furthermore, we examined how the ex-post risk premium changes over time using rolling estimations and find that after the implementation of dual pricing, the risk premium increased significantly for day and peak hours where the demand is relatively higher compared to night hours. As market participants have more experience regarding the dynamics of the market, the difference between real-time and day-ahead forward prices converges to zero since the dual-pricing regime enforce market participants to forecast accurately by punishing the forecast error. |
英文关键词 | Electricity Market structure Market efficiency |
领域 | 气候变化 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000405158200011 |
WOS关键词 | PRICES ; FUTURES ; RISK |
WOS类目 | Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/19101 |
专题 | 气候变化 |
作者单位 | 1.Istinye Univ, Dept Econ, Topkapi Kampusu,Maltepe Mah,9 Zeytinburnu, TR-34010 Istanbul, Turkey; 2.Deloitte LLP, Econ Consulting, Athene Pl,66 Shoe Lane, London EC4A 3BQ, England; 3.Istanbul Bilgi Univ, Istanbul, Turkey |
推荐引用方式 GB/T 7714 | Asan, Goksel,Tasaltin, Kamil. Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market[J]. ENERGY POLICY,2017,107. |
APA | Asan, Goksel,&Tasaltin, Kamil.(2017).Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market.ENERGY POLICY,107. |
MLA | Asan, Goksel,et al."Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market".ENERGY POLICY 107(2017). |
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