EVALUATION OF THE EFFICIENCY OF THE IBERIAN POWER FUTURES MARKET (En: International Conference on Industrial Engineering and Industrial Management. XII Congreso de Ingeniería de Organización. Burgos, September 3-5, 2008)

Market efficiency is analysed for the Iberian Power Futures Market and other European power markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium. The equilibrium price in OMIP compulsory auctions for distribution companies seems reasonable for remuneration purposes. In the period considered (August 2006 to April 2008), monthly future contracts behave similar as quarterly contracts. Average risk premia has been positive in power markets and negative in fuel markets. Different hypothesis are tested regarding increasing volatility with maturity and regarding Forward Risk Premium correlations (negative with variance and positive with skewness of spot prices). Enlarged data sets are recommended for stronger test results. Energy markets tend to show limited levels of market efficiency.