Research on efficiency of electricity futures market

By means of the methods in econometrics,this paper proposes the calculating models and methods of efficiency analysis of electricity futures market from three aspects,i.e.,the market efficiency,price discovery and hedge function. In view of the characteristics of heteroskedasticity and non-stationary in the electricity price fluctuation,it proposes the variance ratio based efficiency test method,the cointergration based price discovery function analysis method and the generalized autoregressive conditional heteroskedasticity based evaluation method of hedging ratio and performance for electricity futures market. By the empirical research on the Nordic electricity futures market,it can be found that its operation is basically efficient,that is,it satisfies the weak form efficiency hypothesis,the futures price and spot price are cointegrated,the futures price is an unbiassed estimate of spot price,the futures market plays an important role in the price discovery function,the hedge reduces the risk of transaction on a certain extent,and the operation efficiency during 2000-2003 year is higher than that of 1996-1999 year. Although there are some inefficient factors,the Nordic electricity futures market is gradually tending towards the mature. This project is supported by National Natural Science Foundation of China(NSFC)(No.70601003) .