Research On Calculating Methods Of Efficiency Analysis For Electricity Futures Markets

As a high-class of the market form, the electricity futures market has been widely adopted by the developed countries since its specially running mechanism, the price discovery and the function of hedge risk. By means of the new methods in Econometrics, the calculating models and methods of efficiency analysis in Nordic electricity futures market are proposed from the three points, i.e., the market efficiency, the price discovery function and the hedge function.The theories of market efficiencies reflect the speed that the market price absorbs the market information, which is the base of the futures markets efficiencies. In view of the characteristics of heteroskedasticity and nonstationary in the electricity price fluctuation, this paper presents the efficiency test method of electricity futures market based on the variance ratio.One of the most important functions of futures market is the price discovery. It has directly reflected the futures market efficiency in the futures market. Considering the nonstationary of the electricity price fluctuation, we use the cointergration theory and the error correction model to analyze the efficiency of price discovery function of electricity futures markets from the"simple efficiency"and the leading role of the futures price.The other most important functions of futures markets is the hedge. i.e. Investors use a futures contract to manage risk and reduce or transfer the bad risk of the price fluctuation. The hedge is a basis of futures markets for existence and development. Therefore, the efficiency of the hedge is an important exemplify for the futures market efficiencies. The evaluation method of hedging ratio and performance of electricity futures markets based on the generalized autoregressive conditional heteroskedasticity are proposed.By the 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 year 2000-2003 is higher than that of year 1996-1999. Although there are some inefficient factors, the Nordic electricity futures market is gradually tending towards the mature.