In this paper we investigate the potential integration in the wholesale electricity prices of the main European markets. After the reforms introduced in the last decades in Europe , wholesale electricity prices are now determined in regulated markets. However, while the market frameworks show several similarities, there are still differences in the composition of the generation units as well as in the technologies adopted. Using multivariate cointegration techniques we test the integration dynamics within four European markets (Austria, Germany, France and Italy) for which we have collected a novel dataset of daily spot prices from 2004 to 2010. We provide evidence in support of a common stochastic trend driving the long-run behavior of European electricity markets. Thus, our results provide additional evidence to assess the efficient market hypothesis in European electricity markets.
INTEGRATION AND CONVERGENCE IN EUROPEAN ELECTRICITY MARKETS
BOLLINO, Carlo Andrea;
2011-01-01
Abstract
In this paper we investigate the potential integration in the wholesale electricity prices of the main European markets. After the reforms introduced in the last decades in Europe , wholesale electricity prices are now determined in regulated markets. However, while the market frameworks show several similarities, there are still differences in the composition of the generation units as well as in the technologies adopted. Using multivariate cointegration techniques we test the integration dynamics within four European markets (Austria, Germany, France and Italy) for which we have collected a novel dataset of daily spot prices from 2004 to 2010. We provide evidence in support of a common stochastic trend driving the long-run behavior of European electricity markets. Thus, our results provide additional evidence to assess the efficient market hypothesis in European electricity markets.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
