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dc.contributor.authorApergis, Nicholas
dc.contributor.authorBaruník, Jozef
dc.contributor.authorLau, Chi Keung Marco
dc.date.accessioned2019-01-16T11:50:04Z
dc.date.available2019-01-16T11:50:04Z
dc.date.issued2017-06-22
dc.identifier.citationApergis, N., Baruník, J., and Lau, C.K.M. (2017) ‘Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?, Energy Economics, 66, pp. 108-115. Doi: 10.1016/j.eneco.2017.06.010en
dc.identifier.issn0140-9883
dc.identifier.doi10.1016/j.eneco.2017.06.010
dc.identifier.urihttp://hdl.handle.net/10545/623305
dc.description.abstractEfficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies of a national electricity market, while the main interests of generators are to maximize their profit through pricing strategies. Therefore, the objective of this study is to explore whether electricity prices across the four Australian States display symmetric price volatility connectedness. The study is the first attempt in the literature to make use of intraday 5-min Australian dispatch electricity prices, spanning the period December 8th, 1998 to May 5th, 2016 to quantify asymmetries in volatility connectedness emerging from good, and bad volatility. The results provide supportive evidence that the Australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets.
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urlhttp://www.sciencedirect.com/science/article/pii/S0140988317302049en
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectElectricity pricesen
dc.subjectVolatility spilloversen
dc.subjectSemivarianceen
dc.subjectAsymmetric effectsen
dc.subjectAustraliaen
dc.subjectNational Electricity Marketen
dc.titleGood volatility, bad volatility: what drives the asymmetric connectedness of Australian electricity markets?en
dc.typeArticleen
dc.contributor.departmentUniversity of Piraeusen
dc.contributor.departmentCharles Universityen
dc.contributor.departmentNorthumbria Universityen
dc.identifier.journalEnergy Economicsen
dc.dateAccepted2017-06-14
dc.dateAccepted2017-06-14
html.description.abstractEfficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies of a national electricity market, while the main interests of generators are to maximize their profit through pricing strategies. Therefore, the objective of this study is to explore whether electricity prices across the four Australian States display symmetric price volatility connectedness. The study is the first attempt in the literature to make use of intraday 5-min Australian dispatch electricity prices, spanning the period December 8th, 1998 to May 5th, 2016 to quantify asymmetries in volatility connectedness emerging from good, and bad volatility. The results provide supportive evidence that the Australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets.


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