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Private and Public Information on the Nordic Intra-Day Electricity Market

Author

Listed:
  • Lazarczyk, Ewa

    (Research Institute of Industrial Economics (IFN))

Abstract
This paper is an empirical investigation of how traders react to public news in a market where there are lots of non-scheduled announcements, often arriving simultaneously. Using detailed trade information from the Nordic intra-day electricity market and GARCH models, this paper examines market participants’ reaction to news about sudden production and transmission failures on the electricity grid. I divide the time of news announcement into three phases: the preannouncement period – the interval up to one hour before the hour of the public announcement of a message, the contemporaneous period – the same hour as the announcement of a message, and the post-announcement period – one hour after the hour of the announcement of a message. I find effect of news on prices in the preannouncement period, indicating that private information exists and is being used for trading on the intra-day market.

Suggested Citation

  • Lazarczyk, Ewa, 2015. "Private and Public Information on the Nordic Intra-Day Electricity Market," Working Paper Series 1064, Research Institute of Industrial Economics.
    • Handle: RePEc:hhs:iuiwop:1064
    as

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    File URL: https://www.ifn.se/wfiles/wp/wp1064.pdf
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    References listed on IDEAS

    as
    1. Berry, Thomas D & Howe, Keith M, 1994. "Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-1346, September.
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    Cited by:

    1. Valitov, Niyaz & Maier, Andreas, 2020. "Asymmetric information in the German intraday electricity market," Energy Economics, Elsevier, vol. 89(C).

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    More about this item

    Keywords

    Private information; Public information; Non-scheduled announcements; Intra-day electricity market; Nord Pool; UMMs;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities

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