THE EFFECT OF ELECTRICITY FORWARD CONTRACTS TRADING IN THE ENERGY EXCHANGE ON THE VOLATILITY OF SPOT PRICES IN IRAN ELECTRICITY MARKET

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KIANVAND MEHRAN; FARZINVASH ASADOLLAH

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Journal: IRANIAN ENERGY ECONOMICS Year:2015 | Volume:4 | Issue:16 Page(s): 181-207

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Title

THE EFFECT OF ELECTRICITY FORWARD CONTRACTS TRADING IN THE ENERGY EXCHANGE ON THE VOLATILITY OF SPOT PRICES IN IRAN ELECTRICITY MARKET

Author(s)

KIANVAND MEHRAN | FARZINVASH ASADOLLAH | Issue Writer Certificate

Keywords

ELECTRICITY SPOT MARKETQ2

FORWARD TRADINGQ2

PRICE VOLATILITYQ1

Abstract

Iran Energy Exchange started to work on 03/09/2013. Electricity trading is carried out within the framework of forward contracts in this exchange. This paper examines the impact of trading in the electricity forward market on the volatility of ELECTRICITY SPOT MARKET. Using daily data of electricity market prices between 03/21/2011 to 06/21/2015, we employed GARCH technique to investigate the impact of FORWARD TRADING on the volatility of the spot market in Iran. Our two main findings are as follows: (1) FORWARD TRADING has led to increased volatility in Iran ELECTRICITY SPOT MARKET, (2) there is an increase in sensitivity to new information while sensitivity to historical information decreases after introduction of the electricity forward contracts.

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APA: Copy

KIANVAND, MEHRAN, & FARZINVASH, ASADOLLAH. (2015). THE EFFECT OF ELECTRICITY FORWARD CONTRACTS TRADING IN THE ENERGY EXCHANGE ON THE VOLATILITY OF SPOT PRICES IN IRAN ELECTRICITY MARKET. IRANIAN ENERGY ECONOMICS, 4(16 ), 181-207. SID. https://sid.ir/paper/244860/en

Vancouver: Copy

KIANVAND MEHRAN, FARZINVASH ASADOLLAH. THE EFFECT OF ELECTRICITY FORWARD CONTRACTS TRADING IN THE ENERGY EXCHANGE ON THE VOLATILITY OF SPOT PRICES IN IRAN ELECTRICITY MARKET. IRANIAN ENERGY ECONOMICS[Internet]. 2015;4(16 ):181-207. Available from: https://sid.ir/paper/244860/en

IEEE: Copy

MEHRAN KIANVAND, and ASADOLLAH FARZINVASH, “THE EFFECT OF ELECTRICITY FORWARD CONTRACTS TRADING IN THE ENERGY EXCHANGE ON THE VOLATILITY OF SPOT PRICES IN IRAN ELECTRICITY MARKET,” IRANIAN ENERGY ECONOMICS, vol. 4, no. 16 , pp. 181–207, 2015, [Online]. Available: https://sid.ir/paper/244860/en

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