Arbeitspapier
Private and Public Information on the Nordic Intra-Day Electricity Market
This paper is an empirical investigation of how traders react to public news in a market where there are lots of non-scheduled announcements, often arriving simultaneously. Using detailed trade information from the Nordic intra-day electricity market 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 one hour before the hour of the public announcement of a message, the contemporaneous period - the same hour as the announcement of a message, and the post-announcement period - one hour after the hour of the announcement of a message. I find effect of news on prices in the preannouncement period, indicating that private information exists and is being used for trading on the intra-day market.
- Sprache
-
Englisch
- Erschienen in
-
Series: IFN Working Paper ; No. 1064
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Electric Utilities
- Thema
-
Private information
Public information
Non-scheduled announcements
Intra-day electricity market
Nord Pool
UMMs
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lazarczyk, Ewa
- Ereignis
-
Veröffentlichung
- (wer)
-
Research Institute of Industrial Economics (IFN)
- (wo)
-
Stockholm
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lazarczyk, Ewa
- Research Institute of Industrial Economics (IFN)
Entstanden
- 2015
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