Private and Public Information on the Nordic Intra-Day Electricity Market

Ewa Lazarczyk ()

No 1064, Working Paper Series from Research Institute of Industrial Economics

Abstract: 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.

Keywords: Private information; Public information; Non-scheduled announcements; Intra-day electricity market; Nord Pool; UMMs (search for similar items in EconPapers)
JEL-codes: G14 L94 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2015-03-27
New Economics Papers: this item is included in nep-ene, nep-mst and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:iuiwop:1064

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