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The significance of calendar effects in the electricity market

Kun Li, Joseph D. Cursio, Mengfei Jiang and Xi Liang

Applied Energy, 2019, vol. 235, issue C, 487-494

Abstract: How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets.

Keywords: Calendar effects; PJM electricity market; Electricity price; Price volatility (search for similar items in EconPapers)
JEL-codes: C12 C22 G19 Q49 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.apenergy.2018.10.124

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