Working Paper No. 1064

Private and Public Information on the Nordic Intra-Day Electricity Market

Published: March 27, 2015Pages: 28Keywords: Private information; Public information; Non-scheduled announcements; Intra-day electricity market; Nord Pool; UMMsJEL-codes: G14; L94

Private and Public Information on the Nordic Intra-Day Electricity Market Ewa Lazarczyk


This paper is an empirical investigation of how traders react to public news in a market where there are lots of non-scheduled announcements, often arriving simultaneously. Using detailed trade information from the Nordic intra-day electricity market and GARCH models, this paper examines market participants’ reaction to news about sudden production and transmission failures on the electricity grid.

I divide the time of news announcement into three phases: the preannouncement period – the interval up to one hour before the hour of the public announcement of a message, the contemporaneous period – the same hour as the announcement of a message, and the post-announcement period – one hour after the hour of the announcement of a message.

I find effect of news on prices in the preannouncement period, indicating that private information exists and is being used for trading on the intra-day market.

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The authors of this book, Niklas Elert, Magnus Henrekson and Mikael Stenkula, advise the economies of the European Union to become more entrepreneurial in promoting innovation and economic growth. The authors propose a reform strategy with respect to several aspects to achieve this goal.

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