Market efficiency and price discovery relationships between spot, futures and forward pricesthe case of the Iberian Electricity Market (MIBEL)

  1. Jose María Ballester 1
  2. Francisco Climent 1
  3. Dolores Furió 1
  1. 1 Universitat de València. Departament d'Economia Financera i Actuarial
Revista:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Año de publicación: 2016

Volumen: 45

Número: 2

Páginas: 135-153

Tipo: Artículo

DOI: 10.1080/02102412.2016.1144441 DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Revista española de financiación y contabilidad

Resumen

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.

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Información de financiación

Financiadores

  • the Spanish Ministry of Education and Science for their financial support. Financial support from CICYT project
    • ECO2013-40186-P
  • University of Valencia project
    • UV-INV-PRECOMP13-115547
  • the Spanish Ministry of Education and Science for their financial support. Financial support from CICYT project
    • ECO2013-40186-P
  • the Spanish Ministry of Education and Science for their financial support. Financial support from CICYT project
    • ECO2013-40186-P

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