The Spanish Electricity Intraday Market: Prices and Liquidity Risk

Current Politics and Economics of Europe, Vol. 20, No. 1, pp. 1-22, 2009

Posted: 11 Jan 2008 Last revised: 23 Oct 2009

See all articles by Dolores Furió

Dolores Furió

University of Valencia - Department of Financial Economics

Julio J. Lucia

University of Valencia - Faculty of Economics

Vicente Meneu

University of Valencia - Department of Financial Economics

Date Written: December 1, 2007

Abstract

This paper carries out a comparative analysis between the Spanish day-ahead market and the intraday market. Due to electricity's features, it is very important to program generation electricity in advance. The Spanish electricity market includes a peculiar intraday market in which agents can trade their electricity after the day-ahead market closes, through six consecutive trading sessions. It allows agents to rectify their positions as delivery time approaches. As well as price convergence between both markets, we analyse the way in which the intraday market is used by market agents and propose a measure as a proxy for auction market liquidity.

Keywords: liquidity, adjustments, intraday market, price convergence, market efficiency

JEL Classification: D44, N7, G14

Suggested Citation

Furió, Dolores and Lucia, Julio J. and Meneu Ferrer, Vicente, The Spanish Electricity Intraday Market: Prices and Liquidity Risk (December 1, 2007). Current Politics and Economics of Europe, Vol. 20, No. 1, pp. 1-22, 2009. Available at SSRN: https://ssrn.com/abstract=1082688

Dolores Furió (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

Julio J. Lucia

University of Valencia - Faculty of Economics ( email )

Valencia, E-46022
Spain

Vicente Meneu Ferrer

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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