Volatility, volume and maturity in electricity futures

W. Walls

Applied Financial Economics, 1999, vol. 9, issue 3, 283-287

Abstract: This paper appears to be the first empirical investigation of the market for electricity futures. We examine fourteen electricity futures contracts for evidence of maturity effects. We find strong evidence of increasing volatility as contract maturity approaches even when controlling for the volume of trade. The maturity effects in electricity futures appear to be stronger than for other energy futures such as crude oil, heating oil and unleaded gasoline.

Date: 1999
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DOI: 10.1080/096031099332357

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