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Power Exchange Prices: Comparison of Volatility in European Markets

Zorana Božić (), Dušan Dobromirov (), Jovana Arsić (), Mladen Radišić () and Beata Ślusarczyk ()
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Zorana Božić: Department of Industrial Engineering, Faculty of Technical Sciences, University of Novi Sad, 21000 Novi Sad, Serbia
Dušan Dobromirov: Department of Industrial Engineering, Faculty of Technical Sciences, University of Novi Sad, 21000 Novi Sad, Serbia
Jovana Arsić: NIS j.s.c., 21000 Novi Sad, Serbia
Mladen Radišić: Department of Industrial Engineering, Faculty of Technical Sciences, University of Novi Sad, 21000 Novi Sad, Serbia
Beata Ślusarczyk: The Management Faculty, Czestochowa University of Technology, 42-201 Czestochowa, Poland

Energies, 2020, vol. 13, issue 21, 1-15

Abstract: Power exchanges in Europe have been operating since the 1990s, while in the region of Southeast Europe (SEE) they are only a few years old. Volatility is considered to be one of the indicators that define the level of market development. In this paper, the authors examine 15 power markets in Europe with the novelty of special attention dedicated to the SEE markets, in terms of their volatility. The aim of this paper is to investigate volatility on SEE markets, and their correlation with developed European markets. Power price volatility is measured by price velocity concepts, the daily velocity based on daily/monthly/quarterly/yearly and overall average power prices. The outcomes reveal that power price volatility is higher in new SEE markets than in more mature European markets. The least volatile market is the Greek pool, followed by Switzerland and Austria. The Bulgarian market is the most volatile, followed by that of Romania, and these markets are nearly twice as volatile as the ones previously mentioned. A correlation matrix is carried out and confirms positive correlation between all markets in terms of their average prices. However, a correlation matrix of measured volatilities depicts a negative correlation, in some cases, between SEE and Central European (CE) markets.

Keywords: Power price volatility; Southeast European power markets; volatility comparison (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
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