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[{"key": "dc.contributor.advisor", "value": "Junttila, Juha", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Myllym\u00e4ki, Valtteri", "language": null, "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2016-09-28T16:17:14Z", "language": "", "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2016-09-28T16:17:14Z", "language": "", "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2016", "language": null, "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.other", "value": "oai:jykdok.linneanet.fi:1574755", "language": null, "element": "identifier", "qualifier": "other", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/51472", "language": "", "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Tietyn maantieteellisen alueen kilpailullisilla s\u00e4hk\u00f6markkinoilla on yleens\u00e4 viitespot-hinta, joka kuvastaa yleist\u00e4 hintatasoa tukkumarkkinalla, ja jota k\u00e4ytet\u00e4\u00e4n johdannaisten viitehintana. Paikallisten markkinoiden hinnat saattavat kuitenkin poiketa t\u00e4st\u00e4 viitehinnasta siirtoyhteyksien rajallisuuden takia. Pohjoismaisilla s\u00e4hk\u00f6markkinoilla ns. systeemi- ja tarjousalueen aluehinnan v\u00e4liselt\u00e4 basis-riskilt\u00e4 suojaudutaan ns. aluehintaero-johdannaisilla (eng. Electricity Price Area Differential, EPAD). Tutkin t\u00e4ss\u00e4 pro gradu- ty\u00f6ss\u00e4 Suomen tarjousalueen EPAD-tuotteiden ja vastaavan aluehintaeron yhteytt\u00e4. Koska s\u00e4hk\u00f6 ei ole varastoitavissa, yleisen n\u00e4kemyksen mukaan sopiva s\u00e4hk\u00f6futuurien hinnoittelumalli perustuu odotuksiin tulevasta spot-hinnasta ja riskipreemioon ns. con-venience yieldin ja varastoteorian sijasta. Ensin lasken toteutuneen kuukausittaisen futuuriharhan Suomen kuukausi-EPAD:eille tammikuusta 2006 tammikuuhun 2016. T\u00e4m\u00e4n j\u00e4lkeen pyrin selvitt\u00e4m\u00e4\u00e4n, aiheutuuko harha riskipreemiosta vai markkinoiden tehottomuudesta. Tulosten mukaan EPAD-futuurien hinnat ennen toimituskuukauden alkua ovat olleet keskim\u00e4\u00e4rin korkeammat kuin toteutunut aluehintaero. Harhassa n\u00e4ytt\u00e4\u00e4 kuitenkin olevan kausivaihtelua ja se poikkeaa tilastollisesti merkitsev\u00e4sti nollasta ainoastaan, kun havaintoaineistosta j\u00e4tet\u00e4\u00e4n pois 2009 \u2013 2010 talven selv\u00e4sti poikkeavat havainnot. Sek\u00e4 riskin\u00e4k\u00f6kulma ett\u00e4 markkinoiden tehottomuus n\u00e4ytt\u00e4v\u00e4t selitt\u00e4v\u00e4n harhaa. Havaitsen vain v\u00e4h\u00e4n tukea aikaisemmille tutkimuksille, jotka ovat l\u00f6yt\u00e4neet yhteyden harhan ja erilaisten riski\u00e4 mittaavien muuttujien v\u00e4lill\u00e4. Sen sijaan l\u00f6yd\u00e4n jonkin verran tukea sille, ett\u00e4 harha on kasvanut vuoden 2012 j\u00e4lkeen. T\u00e4m\u00e4 voi johtua v\u00e4hentyneest\u00e4 s\u00e4hk\u00f6ntuonnista Ven\u00e4j\u00e4lt\u00e4, mik\u00e4 on saattanut kasvattaa liiketoimintaansa suojaavien s\u00e4hk\u00f6n tuottajien ja kuluttajien v\u00e4list\u00e4 m\u00e4\u00e4r\u00e4llist\u00e4 ep\u00e4suhtaa johtaen positiiviseen preemioon futuurimarkkinalla. Tulokset my\u00f6s osoittavat EPAD-hintojen ja aluehintaeron v\u00e4lill\u00e4 olevan kaksisuuntainen kausaalisuus, mik\u00e4 kielii siit\u00e4, ett\u00e4 harha voi johtua jossain m\u00e4\u00e4rin tehottomasta, historiaa peilaavasta futuurimarkkinasta.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Competitive electricity markets in a particular geographical area usually have a reference spot price representing the benchmark price level of the wholesale electricity, and setting the underlying price for derivatives market. However, due to physical transmission congestion local prices may differ substantially from the reference price. In the Nordic market Electricity Price Area Differentials (EPADs) are used to hedge the basis risk between a bidding area and the Nordic reference (system) price. In this thesis I analyze the relationship between Finnish EPADs and the underlying area price difference for the Finnish bidding area. Since electricity is a non-storable commodity, common view is that an appropriate pricing model for electricity futures is based on the expected spot price and a risk premium instead of storage and convenience yield. First, I compute the monthly ex-post bias of Finnish monthly EPADs from January 2006 to January 2016. Second, I attempt to resolve whether the bias can be attributed to a risk premium or market inefficiency. The results imply that on average the futures prices before the delivery period have exceeded the Finnish area spot price difference in the respective delivery period. However, the bias seems to vary between seasons, and is significantly different from zero only when excluding extreme observations of winter 2009 - 2010 from the sample. Both risk considerations and market inefficiency seem to explain the bias. I document little support for the findings of previous studies that have linked the bias to different kind of risk proxies, but find some evidence that the bias has increased after 2012. This could be attributed to the decrease in Russian imports, which may have widened the imbalance between electricity consumers and generators that naturally hedge the Finnish area price leading to a positive premium in the futures market. Finally, I document bi-directional causality between the Finnish area price difference and the EPADs, which could hint that the bias may also be influenced by a somewhat inefficient, backward-looking futures market.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted using Plone Publishing form by Valtteri Myllym\u00e4ki (vamimyll) on 2016-09-28 16:17:13.798612. Form: Pro gradu -lomake (https://kirjasto.jyu.fi/julkaisut/julkaisulomakkeet/pro-gradu-lomake). JyX data: [jyx_publishing-allowed (fi) =True]", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by jyx lomake-julkaisija (jyx-julkaisija.group@korppi.jyu.fi) on 2016-09-28T16:17:14Z\r\nNo. of bitstreams: 2\r\nURN:NBN:fi:jyu-201609284220.pdf: 1527478 bytes, checksum: b8ec2319a22810dabf2154e4e9d59394 (MD5)\r\nlicense.html: 4869 bytes, checksum: c04b251214917c6919c82f7629fe5639 (MD5)", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2016-09-28T16:17:14Z (GMT). No. of bitstreams: 2\r\nURN:NBN:fi:jyu-201609284220.pdf: 1527478 bytes, checksum: b8ec2319a22810dabf2154e4e9d59394 (MD5)\r\nlicense.html: 4869 bytes, checksum: c04b251214917c6919c82f7629fe5639 (MD5)\r\n Previous issue date: 2016", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "1 verkkoaineisto (67 sivua)", "language": null, "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "futures", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "electricity futures", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "EPAD", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "Nordic electricity market", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "locational price difference", "language": null, "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Pricing of electricity futures based on locational price differences : empirical evidence from Finland", "language": null, "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201609284220", "language": null, "element": "identifier", "qualifier": 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