Market efficiency and price discovery relationships between spot, futures and forward prices: the case of the Iberian Electricity Market (MIBEL)

• Jose María Ballester ^[1] ; Francisco Climent ^[1] ; Dolores Furió ^[1]
  1. [1] Universitat de València

     Universitat de València

     Valencia, España

     
• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Vol. 45, Nº 2, 2016, págs. 135-153
• Idioma: inglés
• DOI: 10.1080/02102412.2016.1144441
• Títulos paralelos:
  • Eficiencia y price discovery entre los precios de contado, futuro y forwards: el caso del mercado Ibérico de la electricidad (MIBEL)
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• Resumen
  • español

    Este artículo analiza las relaciones entre los precios de los tres mercados existentes dentro de la zona española del Mercado Ibérico de la Electricidad, es decir, el mercado de futuros, contado y forward OTC. El estudio se centra en tres aspectos: (i) contrastar la hipótesis de eficiencia de mercado débil en los mercados involucrados en el estudio (ii) analizar la hipótesis de eficiencia de mercado semi-fuerte del mercado de futuros MIBEL y (iii) examinar el price discovery entre las series de precios de los mercados considerados.

    Los resultados empíricos confirman que los mercados de futuros a 1-mes, 1-trimestre, 1-año vista y el mercado de contado cumplen, de forma general, la hipótesis de eficiencia de mercado débil y que el mercado de futuros MIBEL no contradice la hipótesis de eficiencia de mercado en su forma semi-fuerte. Adicionalmente, se han encontrado relaciones de price discovery entre los mercados analizados. En particular, se observa una relación de causalidad unidireccional desde el mercado de futuros al mercado forward y desde el mercado de futuros al mercado de contado en los vencimientos a 1-mes y 1-trimestre vista. Estos resultados pueden ser indicativos del uso por parte de los agentes económicos del precio de futuro como precio de referencia.

  • English

    This paper analyses the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and over the counter (OTC) forward markets. The study focuses on three items: (i) contrasting the Weak-form efficiency hypothesis of the markets involved in the study, (ii) analysing the Semi-strong-form efficient market hypothesis (EMH) of the MIBEL futures market and (iii) examining the price discovery relationships between the series of prices of the considered markets.

    The empirical results confirm that 1-month-, 1-quarter-, 1-year-ahead futures and spot markets satisfy, generally, the Weak-form efficiency hypothesis and that MIBEL futures market does not contradict the EMH in its Semi-strong-form. In addition, price discovery relationships have also been found. In particular, there is unidirectional causality from the futures market to the forward market and from the futures market to the spot market for 1-month- and 1-quarter-ahead maturities. This result may be indicative of the agents to use the price of the futures market as a valuable reference.

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