The Theoretic Research Of The Electricity Futures Market

As a high rank of the market form, the electricity futures market has been widely adopted by the developed countries. The electricity futures market is well provided with the function price discovery and the ability to shift risk. In this study I investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California-Oregon Border. Using daily data for the years 1998 and 1999, I find that electricity market can be viewed to be consistent with weak-form efficiency market. The futures risk premium for six-month futures contracts is estimated to be about 0.1181 percent per day or 3.5 percent month. Using a GARCH specification, I estimate minimum variance hedge ratios for electricity futures. Finally, I expound the reality significance of the electricity futures market in the reform of electricity market.