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.

Interdisciplinary European Studies

Trust in the European Union in Challenging Times

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This is the first book in the Interdisciplinary European Studies collection. This volume provides an interdisciplinary perspective on trust in the EU from the vantage point of political science, law and economics. Lars Oxelheim, Lund University and affiliated to IFN, is one of the authors.

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