Market Efficiency in China’s Provincial Electricity Spot Markets: Evidence from Shandong, Shanxi and Guangdong

Assessing electricity market efficiency is important for power market reform and the development of sustainable power systems. Efficient prices can improve resource allocation and provide better signals for system operation, system flexibility and low-carbon transition. Against this background, this study examines the efficiency of three representative provincial electricity spot markets in China, Shandong, Shanxi and Guangdong, using day-ahead and real-time price data from January 2022 to August 2024. A multi-method framework including unit root tests, price convergence tests, detrended fluctuation analysis and sample entropy is employed to evaluate market efficiency and compare differences across provinces. The results show that none of the three markets satisfies the weak-form Efficient Market Hypothesis. The fractal analysis and entropy results further suggest that market efficiency remains limited. Cross-provincial differences are nevertheless observed, which may be partly related to intraday load patterns, generation mix, market structure, and market design. This study provides useful evidence for deepening electricity market reform, as well as promoting the efficient and sustainable development of power systems.