Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market

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dc.contributor.authorAsan, Goksel
dc.contributor.authorTasaltin, Kamil
dc.date.accessioned2024-07-18T20:42:36Z
dc.date.available2024-07-18T20:42:36Z
dc.date.issued2017
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis study analyses the price dynamics of day-ahead and real-time electricity prices following the implementation of dual-pricing legislation in Turkey, to understand the legislation's impact on arbitrage opportunities and market efficiency. The convergence of prices between the day-ahead forward and the real-time markets analysed in order to determine whether persistent price differences between the two markets exist. Arbitrage opportunities exist if there is a persistent difference between prices in the day-ahead forward and real-time market. Markets are considered to be efficient if it is not possible for market participants to earn an excess profit through exploitation of price differences. Furthermore, we examined how the ex-post risk premium changes over time using rolling estimations and find that after the implementation of dual pricing, the risk premium increased significantly for day and peak hours where the demand is relatively higher compared to night hours. As market participants have more experience regarding the dynamics of the market, the difference between real-time and day-ahead forward prices converges to zero since the dual-pricing regime enforce market participants to forecast accurately by punishing the forecast error.en_US
dc.identifier.doi10.1016/j.enpol.2017.04.024
dc.identifier.endpage118en_US
dc.identifier.issn0301-4215
dc.identifier.issn1873-6777
dc.identifier.scopus2-s2.0-85018879577en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage109en_US
dc.identifier.urihttps://doi.org/10.1016/j.enpol.2017.04.024
dc.identifier.urihttps://hdl.handle.net/11411/7356
dc.identifier.volume107en_US
dc.identifier.wosWOS:000405158200011en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevier Sci Ltden_US
dc.relation.ispartofEnergy Policyen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectElectricityen_US
dc.subjectMarket Structureen_US
dc.subjectMarket Efficiencyen_US
dc.subjectPricesen_US
dc.subjectRisken_US
dc.titleMarket efficiency assessment under dual pricing rule for the Turkish wholesale electricity market
dc.typeArticle

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