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Illiquidity in the Japanese Day-Ahead Electricity Market
http://hdl.handle.net/10252/00005833
http://hdl.handle.net/10252/00005833e3f075e1-940a-485f-ac94-79036851fa6b
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
discussionpaper15-4-2015 (2.9 MB)
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| Item type | 学術雑誌論文 / Journal Article(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2018-09-27 | |||||
| タイトル | ||||||
| タイトル | Illiquidity in the Japanese Day-Ahead Electricity Market | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | journal article | |||||
| 著者 |
池田, 真介
× 池田, 真介 |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 32529 | |||||
| 姓名 | Ikeda, Shinsuke | |||||
| 言語 | en | |||||
| 書誌情報 |
en : GRIPS Discussion Papers 巻 15, 号 04, p. 1-26, 発行日 2015-03 |
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| 出版者 | ||||||
| 出版者 | GRIPS Policy Research Center | |||||
| 言語 | en | |||||
| テキストバージョン | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
| 日本十進分類法 | ||||||
| 言語 | ja | |||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| NIIサブジェクト | ||||||
| 言語 | ja | |||||
| 主題Scheme | Other | |||||
| 主題 | 経済学 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Historical data of system prices and traded quantities of electricity over the 48 half-hour intra-daily intervals in the Japan Electric Power Exchange are analyzed. Viewed as a panel dataset of the 48 different commodities in 7 different markets (days of a week) or 336 different contracts over 288 weeks, the data allow me to compute two representative measures of illiquidity, namely, Amihud's price-impact measure and Roll's implied spread cost measure from November 2006 to April 2012. These measures are based on the absolute weekly returns of each of 336 contracts divided by the corresponding volume of traded electricity, and on the first-order serial covariance of weekly returns, respectively. Two measures closely comove but they contribute to the returns in different magnitudes, suggesting that each of them captures both common and distinctive aspects of illiquidity in the JEPX market. Once the lagged returns are controlled for in a dynamic panel framework, the influence of price-impact measures on returns dominate that of spread measures. The price-impact measure and traded volume contribute the return variations in opposite signs, i.e., positively and negatively. It suggests that the assessment of illiquidity requires a careful treatment of these confounding factors. | |||||
| 言語 | en | |||||
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Cite as
池田, 真介, 2015, Illiquidity in the Japanese Day-Ahead Electricity Market: GRIPS Policy Research Center , 1–26 p.
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