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Volatility, volume and maturity in electricity futures

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  • W. David Walls

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.

Suggested Citation

  • W. David Walls, 1999. "Volatility, volume and maturity in electricity futures," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 283-287.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:283-287
    DOI: 10.1080/096031099332357
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    Citations

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    Cited by:

    1. Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    2. repec:dau:papers:123456789/14413 is not listed on IDEAS
    3. Angelica Gianfreda, 2010. "Volatility and Volume Effects in European Electricity Spot Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 47-63, February.
    4. Capitán Herráiz, Álvaro & Rodríguez Monroy, Carlos, 2009. "Analysis of the efficiency of the Iberian power futures market," Energy Policy, Elsevier, vol. 37(9), pages 3566-3579, September.
    5. Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
    6. repec:dau:papers:123456789/13630 is not listed on IDEAS
    7. Torro, Hipolit, 2007. "Forecasting Weekly Electricity Prices at Nord Pool," International Energy Markets Working Papers 7437, Fondazione Eni Enrico Mattei (FEEM).
    8. Lester Hadsell, 2006. "A TARCH examination of the return volatility-volume relationship in electricity futures," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 893-901.
    9. Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.
    10. Hoang‐Long Phan & Ralf Zurbruegg, 2020. "The time‐to‐maturity pattern of futures price sensitivity to news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 126-144, January.
    11. Edouard Jaeck & Delphine Lautier, 2014. "Samuelson hypothesis and electricity derivative markets," Post-Print hal-01655800, HAL.
    12. Helen Higgs & Andrew C. Worthington, 2005. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 23-42.
    13. Saurabh Gupta & Prabina Rajib, 2012. "Samuelson Hypothesis & Indian Commodity Derivatives Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 331-352, November.

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