{"created":"2023-06-20T15:03:09.391620+00:00","id":1109,"links":{},"metadata":{"_buckets":{"deposit":"09a91cd7-4c57-49da-9a6a-2e73ff3c2899"},"_deposit":{"created_by":16,"id":"1109","owners":[16],"pid":{"revision_id":0,"type":"depid","value":"1109"},"status":"published"},"_oai":{"id":"oai:grips.repo.nii.ac.jp:00001109","sets":["1:22"]},"author_link":["6695"],"item_12_description_22":{"attribute_name":"著者情報","attribute_value_mlt":[{"subitem_description":"https://www.grips.ac.jp/list/jp/facultyinfo/ikeda_shinsuke/","subitem_description_type":"Other"}]},"item_12_description_6":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_12_description_7":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"JEL Classification Codes: G14, Q41","subitem_description_type":"Other"}]},"item_12_description_8":{"attribute_name":"分野","attribute_value_mlt":[{"subitem_description":"経済学 / Economics","subitem_description_type":"Other"}]},"item_12_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"6695","nameIdentifierScheme":"WEKO"}],"names":[{"name":"池田, 真介","nameLang":"ja"}]}]},"item_12_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24545/00001109","subitem_identifier_reg_type":"JaLC"}]},"item_12_publisher_12":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"GRIPS Policy Research Center ","subitem_publisher_language":"en"}]},"item_12_relation_16":{"attribute_name":"関連サイト","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_text":"https://ideas.repec.org/p/ngi/dpaper/12-22.html"}],"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"https://ideas.repec.org/p/ngi/dpaper/12-22.html","subitem_relation_type_select":"URI"}}]},"item_12_text_10":{"attribute_name":"発行年","attribute_value_mlt":[{"subitem_text_value":"2013-03"}]},"item_12_text_5":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"政策研究大学院大学 / National Graduate Institute for Policy Studies"}]},"item_12_version_type_19":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_ab4af688f83e57aa","subitem_version_type":"AM"}]},"item_1693541285410":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-03-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"DP12-22","bibliographic_titles":[{"bibliographic_title":"GRIPS Discussion Papers","bibliographic_titleLang":"en"}]}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"IKEDA, Shin S.","creatorNameLang":"en"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","filename":"DP12-22.pdf","filesize":[{"value":"1.2 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DP12-22.pdf","url":"https://grips.repo.nii.ac.jp/record/1109/files/DP12-22.pdf"},"version_id":"072167a9-8a7a-4403-b0ae-77b020581a9d"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Market Microstructure","subitem_subject_scheme":"Other"},{"subitem_subject":"Implied Spread","subitem_subject_scheme":"Other"},{"subitem_subject":"Roll measure","subitem_subject_scheme":"Other"},{"subitem_subject":"Periodic Call-Auction","subitem_subject_scheme":"Other"},{"subitem_subject":"Wholesale Electricity Market","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report"}]},"item_title":"An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market","subitem_title_language":"en"}]},"item_type_id":"12","owner":"16","path":["22"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2013-03-06"},"publish_date":"2013-03-06","publish_status":"0","recid":"1109","relation_version_is_last":true,"title":["An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market"],"weko_creator_id":"16","weko_shared_id":-1},"updated":"2023-11-20T08:53:55.140568+00:00"}