Market efficiency and risk premium in the Turkish wholesale electricity market

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dc.authorid0000-0001-6036-0559
dc.contributor.authorYılmaz, Mustafa Kemal
dc.contributor.authorYılmaz, Mustafa Kemal
dc.contributor.authorYılmaz, Mustafa Kemal
dc.contributor.authorKüçükçolak, Necla İ.
dc.contributor.authorKüçükçolak, R. Ali
dc.contributor.otherYönetim Bilimleri Fakültesi, İşletme Bölümü
dc.contributor.otherYönetim Bilimleri Fakültesi, İşletme Bölümü
dc.date.accessioned2018-07-13T14:16:02Z
dc.date.available2018-07-13T14:16:02Z
dc.date.issued2018
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İşletme Bölümü
dc.description.abstractDue to the nature of electricity, prices in the wholesale electricity market show great variation according to the hours of the day. Thus, it is important for market participants to forecast hourly prices to give accurate orders. This study covers the analysis of hourly electricity prices by referring to the relationship between spot and forward prices and volume in the Turkish market over two sub-periods of dual pricing: December 2011-May 2016 and June 2016-December 2017. The latter period is characterized by the implementation of a new trading algorithm in the market. The results reveal that forward prices behave as unbiased predictors of spot prices, most of the time. Remarkably, evolution of the difference between spot and forward prices, namely risk premium, depicts that the spot price supports the arbitrage opportunities in the electricity market. The introduction of the new trading algorithm does not depict significant effect on the risk premium.
dc.identifier.citationYılmaz, M. K., Küçükçolak, N. İ., Küçükçolak, R. A. (2018). Market efficiency and risk premium in the Turkish wholesale electricity market. International Journal of Energy Economics and Policy, 8 (5), 76-88.
dc.identifier.endpage88
dc.identifier.issn2146-4553
dc.identifier.issue5
dc.identifier.scopus2-s2.0-85052997618
dc.identifier.scopusqualityQ2
dc.identifier.startpage76
dc.identifier.urihttps://hdl.handle.net/20.500.12154/385
dc.identifier.volume8
dc.indekslendigikaynakScopus
dc.institutionauthorYılmaz, Mustafa Kemal
dc.institutionauthorid0000-0001-6036-0559
dc.language.isoen
dc.publisherEconJournals
dc.relation.ihupublicationcategory118
dc.relation.ispartofInternational Journal of Energy Economics and Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectElectricity Market Efficiency
dc.subjectDay-Ahead Market
dc.subjectForward Prices
dc.subjectRisk Premium
dc.titleMarket efficiency and risk premium in the Turkish wholesale electricity market
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication9b408141-b1c4-485b-8f06-14ff4eccc6a7
relation.isAuthorOfPublication.latestForDiscovery9b408141-b1c4-485b-8f06-14ff4eccc6a7
relation.isOrgUnitOfPublicationc9253b76-6094-4836-ac99-2fcd5392d68f
relation.isOrgUnitOfPublication.latestForDiscoveryc9253b76-6094-4836-ac99-2fcd5392d68f

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