Market efficiency and risk premium in the Turkish wholesale electricity market

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dc.contributor.authorYılmaz, Mustafa Kemal
dc.contributor.authorKüçükçolak, Necla I.
dc.contributor.authorKüçükçolak, Recep Ali
dc.date.accessioned2020-11-21T15:54:30Z
dc.date.available2020-11-21T15:54:30Z
dc.date.issued2018en_US
dc.departmentİstanbul Ticaret Üniversitesien_US
dc.description.abstractDue to the nature of electricity, prices in the wholesale electricity market show great variation according to the hours of the day. Thus, it is important for market participants to forecast hourly prices to give accurate orders. This study covers the analysis of hourly electricity prices by referring to the relationship between spot and forward prices and volume in the Turkish market over two sub-periods of dual pricing: December 2011-May 2016 and June 2016-December 2017. The latter period is characterized by the implementation of a new trading algorithm in the market. The results reveal that forward prices behave as unbiased predictors of spot prices, most of the time. Remarkably, evolution of the difference between spot and forward prices, namely risk premium, depicts that the spot price supports the arbitrage opportunities in the electricity market. The introduction of the new trading algorithm does not depict significant effect on the risk premium. © 2018, Econjournals. All rights reserved.en_US
dc.identifier.endpage88en_US
dc.identifier.issn2146-4553
dc.identifier.issue5en_US
dc.identifier.scopus2-s2.0-85052997618en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage76en_US
dc.identifier.urihttps://hdl.handle.net/11467/3841
dc.identifier.volume8en_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherEconjournalsen_US
dc.relation.ispartofInternational Journal of Energy Economics and Policyen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectDay-ahead marketen_US
dc.subjectElectricity market efficiencyen_US
dc.subjectForward pricesen_US
dc.subjectRisk premiumen_US
dc.titleMarket efficiency and risk premium in the Turkish wholesale electricity marketen_US
dc.typeArticleen_US

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