Trading time seasonality in electricity futures

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2022.100291

Ståle Størdal , Christian-Oliver Ewald , Gudbrand Lien , Erik Haugom

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引用次数: 0

Abstract

Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed for varying maturities. This type of seasonality is linked to the pricing kernel which in turn accounts for seasonal changes in preferences of agents and tied to risk aversion and thus the demand for hedging. In the present study we empirically examine trading time seasonality in yearly Nordic and German electricity futures contracts. Visual inspection of both average monthly futures prices and the futures backward curves provides strong indications of futures prices systematically varying over the trading year. On average both Nordic and German futures prices are lowest in first quarter and highest in third quarter trading months. This is confirmed by statistical tests of stochastic dominance. Exploiting this insight in a simple trading strategy induces positive and significant alphas in the sense of the capital asset pricing model. We relate the findings to potential seasonal risk preferences and hedging pressure in the electricity futures market.

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电力期货交易时间的季节性

交易时间季节性反映了同一到期日期货价格的季节性行为。因此，它不同于经典的季节性，后者反映了不同期限的现货价格引起的季节性行为。这种类型的季节性与定价核心相关联，定价核心反过来又解释了代理人偏好的季节性变化，并与风险厌恶以及对冲需求联系在一起。在本研究中，我们实证检验了北欧和德国年度电力期货合约的交易时间季节性。对月平均期货价格和期货逆向曲线的目视检查提供了期货价格在交易年内系统变化的有力迹象。平均而言，北欧和德国的期货价格在第一季度最低，在第三季度交易月份最高。随机优势的统计检验证实了这一点。在一个简单的交易策略中利用这一洞察力，在资本资产定价模型的意义上，会产生积极而显著的阿尔法。我们将研究结果与电力期货市场中潜在的季节性风险偏好和对冲压力联系起来。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.