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  • Evaluating the informational efficiency of Australian electricity spot markets: Multiple variance ratio tests of random walks

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    Author(s)
    Higgs, Helen
    Worthington, Andrew C.
    Griffith University Author(s)
    Worthington, Andrew C.
    Year published
    2003
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    Abstract
    This paper examines whether Australian electricity spot prices follow a random walk. Daily peak and off-peak (base load) prices for New South Wales, Victoria, Queensland and South Australia are sampled over the period July 1999 to June 2001 and analysed using multiple variance ratio tests. The results indicate that the null hypothesis of a random walk can be rejected in all peak period and most off-period markets because of the autocorrelation of returns. For the Victorian market, the off-peak period electricity spot price follows a random walk. One implication of the study is that in most instances, stochastic autoregressive ...
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    This paper examines whether Australian electricity spot prices follow a random walk. Daily peak and off-peak (base load) prices for New South Wales, Victoria, Queensland and South Australia are sampled over the period July 1999 to June 2001 and analysed using multiple variance ratio tests. The results indicate that the null hypothesis of a random walk can be rejected in all peak period and most off-period markets because of the autocorrelation of returns. For the Victorian market, the off-peak period electricity spot price follows a random walk. One implication of the study is that in most instances, stochastic autoregressive modelling techniques may be adequate for forecasting electricity prices.
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    Journal Title
    Pacific and Asian Journal of Energy
    Volume
    13
    Issue
    1
    Publisher URI
    http://www.teriin.org/
    Copyright Statement
    © 2003 Tata Energy Research Institute
    Publication URI
    http://hdl.handle.net/10072/21725
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    • Journal articles

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