Private and public information on the Nordic intra-day electricity market

• This paper is an empirical investigation of how traders react to public news on the Nordic intra-day electricity market. Using detailed trade information and GARCH models this paper examines market participants' reaction to news about sudden production and transmission failures on the electricity grid. I divide the time of news announcement into three phases: the preannouncement period - the interval up to fifteen minutes before the public announcement of a message, the contemporaneous period - the interval up to fifteen minutes after the announcement of a message, and the post-announcement period - the interval between fifteen to sixty minutes after the announcement of a message. I find that news affects the mean price levels but does not affect volatility. No effect of news on prices and volumes is seen in the preannouncement period, indicating that even if private information exists it is not being used for trading on the intra-day market.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

Publikations- och innehållstyp

ovr (ämneskategori)

vet (ämneskategori)