Analysis of the traded volume drivers of the Iberian power futures market

Capitán Herráiz, Álvaro and Rodríguez Monroy, Carlos (2013). Analysis of the traded volume drivers of the Iberian power futures market. "International Journal of Electrical Power & Energy Systems", v. 44 (n. 1); pp. 431-440. ISSN 0142-0615. https://doi.org/10.1016/j.ijepes.2011.10.034.

Description

Title: Analysis of the traded volume drivers of the Iberian power futures market
Author/s:
  • Capitán Herráiz, Álvaro
  • Rodríguez Monroy, Carlos
Item Type: Article
Título de Revista/Publicación: International Journal of Electrical Power & Energy Systems
Date: January 2013
ISSN: 0142-0615
Volume: 44
Subjects:
Freetext Keywords: Electricity sector; Power futures market; Liquidity; Energy regulation; Market supervision
Faculty: E.T.S.I. Industriales (UPM)
Department: Ingeniería de Organización, Administración de Empresas y Estadística
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

A comprehensive assessment of the liquidity development in the Iberian power futures market managed by OMIP (“Operador do Mercado Ibérico de Energia, Pólo Português”) in its first 4 years of existence is performed. This market started on July 2006. A regression model tracking the evolution of the traded volumes in the continuous market is built as a function of 12 potential liquidity drivers. The only significant drivers are the traded volumes in OMIP compulsory auctions, the traded volumes in the “Over The Counter” (OTC) market, and the OTC cleared volumes in OMIP clearing house (OMIClear). Furthermore, the enrollment of financial members shows strong correlation with the traded volumes in the continuous market. OMIP liquidity is still far from the levels reached by the most mature European markets (Nord Pool and EEX). The market operator and its clearing house could develop efficient marketing actions to attract new entrants active in the spot market (energy intensive industries, suppliers, and small producers) as well as volumes from the opaque OTC market, and to improve the performance of existing illiquid products. An active dialogue with all the stakeholders (market participants, spot market operator, and supervisory authorities) will help to implement such actions.

More information

Item ID: 29497
DC Identifier: http://oa.upm.es/29497/
OAI Identifier: oai:oa.upm.es:29497
DOI: 10.1016/j.ijepes.2011.10.034
Official URL: http://www.sciencedirect.com/science/article/pii/S0142061512004243
Deposited by: Memoria Investigacion
Deposited on: 31 Oct 2014 16:36
Last Modified: 31 Oct 2014 16:36
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