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Informational Efficiency and Interchange Transactions in Alberta’s Electricity Market

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  • Apostolos Serletis
  • Mattia Bianchi

Abstract

This paper aims to investigate the informational efficiency of the Alberta electricity market and also the issue of whether interchange transactions (power flows between markets) are becoming increasingly significant factors in electric power markets. In doing so, we use hourly data for all hours, peak hours, and off-peak hours over the period from January 1st, 1999 to July 31st, 2005. In testing the efficiency of the Alberta power market, we use a statistical physics approach - namely the ‘detrending moving average (DMA)’ technique, introduced by Alessio et al. (2002) and further developed by Carbone et al. (2004a, 2004b), and recently applied to energy futures markets by Serletis and Rosenberg (2007). In analyzing the relationship between power imports and exports and pool prices, we assess whether regulatory changes have modified the causal relationship between import/export volumes and the pool price. According to our results, the electricity market in Alberta is highly inefficient and cross-border trade of electricity between Alberta and neighbouring jurisdictions helps predict the price dynamics in Alberta’s electricity market.

Suggested Citation

  • Apostolos Serletis & Mattia Bianchi, 2007. "Informational Efficiency and Interchange Transactions in Alberta’s Electricity Market," The Energy Journal, , vol. 28(3), pages 121-144, July.
    • Handle: RePEc:sae:enejou:v:28:y:2007:i:3:p:121-144
    DOI: 10.5547/ISSN0195-6574-EJ-Vol28-No3-7
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    1. repec:aen:journl:2005v26-04-a05 is not listed on IDEAS
    2. Apostolos Serletis & Akbar Shahmoradi, 2007. "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 16, pages 205-220, World Scientific Publishing Co. Pte. Ltd..
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