Evaluating the informational efficiency of Australian electricity spot markets: multiple variance ratio tests of random walks
Higgs, Helen & Worthington, Andrew C. (2003) Evaluating the informational efficiency of Australian electricity spot markets: multiple variance ratio tests of random walks. Pacific and Asian Journal of Energy, 13(1), pp. 1-16.
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Abstract
This paper examines whether Australian electricity spot prices follow a random walk. Daily peak and off-peak (base load) prices for New South Wales, Victoria, Queensland and South Australia are sampled over the period July 1999 to June 2001 and analysed using multiple variance ratio tests. The results indicate that the null hypothesis of a random walk can be rejected in all peak period and most off-period markets because of the autocorrelation of returns. For the Victorian market, the off-peak period electricity spot price follows a random walk. One implication of the study is that in most instances, stochastic autoregressive modelling techniques may be adequate for forecasting electricity prices.
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| ID Code: | 2528 |
|---|---|
| Item Type: | Journal Article |
| Additional URLs: | |
| Keywords: | Electricity, multiple variance ratio tests, random walks |
| ISSN: | 0970-3888 |
| Subjects: | Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Environment and Resource Economics (140205) |
| Divisions: | Current > QUT Faculties and Divisions > QUT Business School |
| Copyright Owner: | Copyright 2003 Tata Energy Research Institute |
| Deposited On: | 15 Nov 2005 |
| Last Modified: | 05 Jan 2011 23:25 |
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