An Examination of Prices on the MISO Exchange
Global Tensions in Financial Markets
ISBN: 978-1-78714-840-6, eISBN: 978-1-78714-839-0
Publication date: 19 March 2018
Abstract
This chapter examines the efficiency of the Midcontinent Independent System Operator (MISO), Inc., electricity exchange following its major expansion in terms of market participants and geographic scope in 2014. Specifically, hourly day-ahead (forward) and real-time (spot) prices from 2014 to 2016 reveal that forward premiums are prevalent despite the increase in market size. Furthermore, these forward premiums do not adhere to Bessembinder and Lemmon’s (2002) commonly used general equilibrium model for electricity forward premia. A technical trading rule based on the relationship between day-ahead prices across hubs that was found to be profitable prior to MISO’s expansion still produces economically and statistically significant returns after the exchange’s growth.
Keywords
- Midcontinent Independent System Operator (MISO)
- Electricity exchange
- Spot prices for electricity
- Forward prices for electricity
- Forward premiums for electricity
- Electricity forward premia
- Bessembinder and Lemmon equilibrium
- Day-ahead prices for electricity
- Federal Energy Regulatory Committee (FERC)
- Regional transmission operators (RTOs)
Citation
Jones, K. (2018), "An Examination of Prices on the MISO Exchange", Kensinger, J.W. (Ed.) Global Tensions in Financial Markets (Research in Finance, Vol. 34), Emerald Publishing Limited, Leeds, pp. 57-73. https://doi.org/10.1108/S0196-382120170000034003
Publisher
:Emerald Publishing Limited
Copyright © 2018 Emerald Publishing Limited