Inefficiency in deregulated wholesale electricity markets: the case of the New England ISO
Abstract:The efficiency of the New England Independent System Operator electricity market is examined. Using peak hour prices from March 2003 to February 2007, significant differences between Day Ahead (DA) and spot prices are found, indicating that profitable arbitrage opportunities existed in the DA market. It is also found that persistence of price volatility is higher in the DA market, indicating that information is not incorporated into DA prices as quickly as it is in the spot market.
Document Type: Research Article
Affiliations: Division of Economics and Business, College at Oneonta, State University of New York, Oneonta, NY, USA
Publication date: February 1, 2011