Empirical Analysis of Developments in the Day Ahead Electricity Markets in India

Sinha, Pankaj and Mathur, Kritika (2016): Empirical Analysis of Developments in the Day Ahead Electricity Markets in India.

Abstract

Given the thrust on the deregulation of electricity markets in India since 2003, the short term electricity market with power exchanges in particular have evolved rapidly to support the growth of the power markets in an efficient manner. Since their year of inception 2008, power exchanges are now more efficient and are able to mitigate risks arising from price volatility for the participants to a large extent. This paper throws light on the trading of day ahead electricity contracts in India. We try to assess whether day ahead electricity returns and return volatility exhibit weekday effect. The study also looks at the effect of traded volume of electricity on electricity return volatility and the impact of introduction of the fifteen minute contracts in the day ahead electricity market in India on returns and return volatility.

• Item Type: MPRA Paper
• Language: English
• Keywords: Power trading, electricity futures, Power exchange
• Subjects: D - Microeconomics > D4 - Market Structure, Pricing, and Design > D44 - Auctions; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q41 - Demand and Supply ; Prices; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q48 - Government Policy

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