This paper introduces overall policy and economic environment for power industry in China. Thepolicy environment tends to be favorable, while the economic environment seems worrisome. The latter ismainly due to energy...This paper introduces overall policy and economic environment for power industry in China. Thepolicy environment tends to be favorable, while the economic environment seems worrisome. The latter ismainly due to energy transportation blocking and price escalating. The paper also introduces the performanceand development of listed power companies, and points out that the power stock market is still promising andpower industry is still valuable for investment.展开更多
The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM （Capital Asset Pricing Model betas）, derivate pricing and risk management in general. Recent ...The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM （Capital Asset Pricing Model betas）, derivate pricing and risk management in general. Recent access to intra-daily high-frequency data for two of the most liquid contracts at the Nord Pool exchange has made it possible to apply new and promising methods for analyzing volatility and correlation. The concepts of realized volatility and realized correlation are applied, and this study statistically describes the distribution （both distributional properties and temporal dependencies） of electricity forward data from 2005 to 2009. The main findings show that the logarithmic realized volatility is approximately normally distributed, while realized correlation seems not to be. Further, realized volatility and realized correlation have a long-memory feature. There also seems to be a high correlation between realized correlation and volatilities and positive relations between trading volume and realized volatility and between trading volume and realized correlation. These results are to a large extent consistent with earlier studies of stylized facts of other financial and commodity markets.展开更多
文摘This paper introduces overall policy and economic environment for power industry in China. Thepolicy environment tends to be favorable, while the economic environment seems worrisome. The latter ismainly due to energy transportation blocking and price escalating. The paper also introduces the performanceand development of listed power companies, and points out that the power stock market is still promising andpower industry is still valuable for investment.
文摘The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM （Capital Asset Pricing Model betas）, derivate pricing and risk management in general. Recent access to intra-daily high-frequency data for two of the most liquid contracts at the Nord Pool exchange has made it possible to apply new and promising methods for analyzing volatility and correlation. The concepts of realized volatility and realized correlation are applied, and this study statistically describes the distribution （both distributional properties and temporal dependencies） of electricity forward data from 2005 to 2009. The main findings show that the logarithmic realized volatility is approximately normally distributed, while realized correlation seems not to be. Further, realized volatility and realized correlation have a long-memory feature. There also seems to be a high correlation between realized correlation and volatilities and positive relations between trading volume and realized volatility and between trading volume and realized correlation. These results are to a large extent consistent with earlier studies of stylized facts of other financial and commodity markets.
