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The Theoretic Research of the Electricity Futures Market

Author: LiuLiNa
Tutor: ShenJianFei
School: North China Electric Power University (Beijing)
Course: Technology Economics and Management
Keywords: Electricity Futures Market Hedging GARCH model
CLC: F713.35
Type: Master's thesis
Year: 2006
Downloads: 262
Quote: 6
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Abstract


Electricity futures market as an advanced form of electricity market , due to the unique operating mechanism and unique price discovery and risk-averse function has been developed countries widely adopted . In this paper, the COB electricity futures contracts listed on the New York Mercantile Exchange, the spot price and the futures price , daily transaction data analysis of the 1998-1999 year , the electricity futures market is a vulnerable market . The six -month premium of electricity futures contracts about every day is 0.1181% or 3.5% per month . COB electricity futures contracts hedge ratio estimated GARCH model , and finally elaborated establish the practical significance of the electricity futures market on the reform of China 's electric power industry .

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CLC: > Economic > Trade and Economic > Domestic Trade and Economic > The circulation of commodities and the market > Sale of goods > Futures Trading
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