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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Martin Ljunge, IFN, is the author of a chapter, "Trust promotes health: addressing reverse causality by studying children of immigrants", in a new book edited by Sherman Folland and Eric Nauenberg. The cutting edge of research is presented, covering the ever-expanding social capital field.

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