WEKO3
アイテム
An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market
https://doi.org/10.24545/00001109
https://doi.org/10.24545/0000110989af56d1-1265-4b4d-b1eb-93f6dffbe5f0
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP12-22.pdf (1.2 MB)
|
|
| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2013-03-06 | |||||||
| タイトル | ||||||||
| タイトル | An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Market Microstructure | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Implied Spread | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Roll measure | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Periodic Call-Auction | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Wholesale Electricity Market | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | technical report | |||||||
| ID登録 | ||||||||
| ID登録 (DOI) | 10.24545/00001109 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
IKEDA, Shin S.
× IKEDA, Shin S.
|
|||||||
| 著者別名 | ||||||||
| 識別子Scheme | WEKO | |||||||
| 識別子 | 6695 | |||||||
| 姓名 | 池田, 真介 | |||||||
| 言語 | ja | |||||||
| 著者所属 | ||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||
| 分野 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 経済学 / Economics | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | Historical data of system prices over 48 half-hour intra-daily intervals in the Japan Electric Power Exchange (JEPX) are analyzed. Given theoretical and graphical preliminary analysis, we extract measures of the spread between the efficient price and actual transaction price for each month from November 2006 to April 2012. The measures are based on the first-order serial covariance of transaction returns proposed by Roll (1984) and on the historical highs and lows with some bias correction proposed by Corwin and Schultz (2012). Viewed as measures of the marginal costs of trading in the JEPX, the estimated spreads are on average at least 50 times as large as the one in the well-unfunctioning S&P500 index futures market. The traded amount of electricity does not explain the variation of spreads once the time-of-a-day fixed effects and month-specific time effect are explicitly accounted for in the panel regression. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | JEL Classification Codes: G14, Q41 | |||||||
| 発行年 | ||||||||
| 値 | 2013-03 | |||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP12-22, 発行日 2013-03-06 |
|||||||
| 出版者 | ||||||||
| 出版者 | GRIPS Policy Research Center | |||||||
| 言語 | en | |||||||
| 関連サイト | ||||||||
| 関連タイプ | isIdenticalTo | |||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/12-22.html | |||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/12-22.html | |||||||
| 著者情報 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/ikeda_shinsuke/ | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | AM | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||
