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Market Efficiency and price discovery relationships between spot, futures and forward prices: The case of the Iberian Electricity Market (MIBEL)

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Market Efficiency and price discovery relationships between spot, futures and forward prices: The case of the Iberian Electricity Market (MIBEL)

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dc.contributor.author Ballester, José María
dc.contributor.author Climent Diranzo, Francisco José
dc.contributor.author Furió Ortega, María Dolores
dc.date.accessioned 2017-11-06T13:16:36Z
dc.date.available 2017-11-06T13:16:36Z
dc.date.issued 2016
dc.identifier.citation Ballester, José María Climent Diranzo, Francisco José Furió Ortega, María Dolores 2016 Market Efficiency and price discovery relationships between spot, futures and forward prices: The case of the Iberian Electricity Market (MIBEL) Spanish Journal Of Finance And Accounting-Revista Espanola de Financiacion y Contabilida 45 2 135 153
dc.identifier.uri http://hdl.handle.net/10550/62966
dc.description.abstract This paper analyses the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and over the counter (OTC) forward markets. The study focuses on three items: (i) contrasting the Weak-form efficiency hypothesis of the markets involved in the study, (ii) analysing the Semi-strong-form efficient market hypothesis (EMH) of the MIBEL futures market and (iii) examining the price discovery relationships between the series of prices of the considered markets. The empirical results confirm that 1-month-, 1-quarter-, 1-year-ahead futures and spot markets satisfy, generally, the Weak-form efficiency hypothesis and that MIBEL futures market does not contradict the EMH in its Semi-strong-form. In addition, price discovery relationships have also been found. In particular, there is unidirectional causality from the futures market to the forward market and from the futures market to the spot market for 1-month- and 1-quarter-ahead maturities. This result may be indicative of the agents to use the price of the futures market as a valuable reference.
dc.language.iso eng
dc.relation.ispartof Spanish Journal Of Finance And Accounting-Revista Espanola de Financiacion y Contabilida, 2016, vol. 45, num. 2, p. 135-153
dc.subject Eficiència industrial
dc.subject Preus
dc.subject Energia
dc.title Market Efficiency and price discovery relationships between spot, futures and forward prices: The case of the Iberian Electricity Market (MIBEL)
dc.type journal article es_ES
dc.date.updated 2017-11-06T13:16:36Z
dc.identifier.idgrec 112247
dc.rights.accessRights open access es_ES

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