Liquidity, volume and volatility in US electricity futures: the case of Palo Verde

Barry Goss

Applied Financial Economics Letters, 2006, vol. 2, issue 1, pages 43-46

Abstract: Previous research on liquidity has studied the relationships between liquidity, trading activity and volatility, mostly with data from US Treasury securities, stocks and foreign exchange spot markets. Liquidity in futures markets, especially electricity futures, has received little attention. However, liquidity in futures is expected to behave differently to that in spot markets because of the unique asymmetries in futures markets. Liquidity in electricity markets is of interest in countries where these markets are being deregulated. This study estimates these relationships for the Palo Verde electricity futures contract. The results show positive relations between all three pairs of key variables.

View list of references

Downloads: (external link)
http://taylorandfran ... &id=W6H1R57463MT7422 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.tandf.co. ... /titles/17446546.asp

Access Statistics for this article

Applied Financial Economics Letters is edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().