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Illiquidity in the Japanese Day-Ahead Electricity Market
https://doi.org/10.24545/00001174
https://doi.org/10.24545/000011743f391f15-2bc2-497c-9eb1-85eeaa846461
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP15-04.pdf (1.2 MB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2015-05-09 | |||||||
| タイトル | ||||||||
| タイトル | Illiquidity in the Japanese Day-Ahead Electricity Market | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | technical report | |||||||
| ID登録 | ||||||||
| ID登録 (DOI) | 10.24545/00001174 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
IKEDA, Shin S.
× IKEDA, Shin S.
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| 著者別名 | ||||||||
| 識別子Scheme | WEKO | |||||||
| 識別子 | 6926 | |||||||
| 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 | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | Historical data of system prices and traded quantities of electricity over the 48 half-hour intra-daily intervals in the Japan Electric Power Exchange are analyzed. Viewed as a panel dataset of the 48 different commodities in 7 different markets (days of a week) or 336 different contracts over 288 weeks, the data allow me to compute two representative measures of illiquidity, namely, Amihud's price-impact measure and Roll's implied spread cost measure from November 2006 to April 2012. These measures are based on the absolute weekly returns of each of 336 contracts divided by the corresponding volume of traded electricity, and on the first-order serial covariance of weekly returns, respectively. Two measures closely comove but they contribute to the returns in different magnitudes, suggesting that each of them captures both common and distinctive aspects of illiquidity in the JEPX market. Once the lagged returns are controlled for in a dynamic panel framework, the influence of price-impact measures on returns dominate that of spread measures. The price-impact measure and traded volume contribute the return variations in opposite signs, i.e., positively and negatively. It suggests that the assessment of illiquidity requires a careful treatment of these confounding factors. | |||||||
| 発行年 | ||||||||
| 値 | 2015-05 | |||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP15-04, 発行日 2015-05-09 |
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| 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/15-04.html | |||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/15-04.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 | |||||||
