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Liberalization of electricity markets has increasingly created the need forunderstanding the volatility and correlation structure between electricity andfinancial markets. This work reveals the existence of structural changes incorrelation patterns among these two markets and links the changes to bothfundamentals and regulatory conditions prevailing in the markets, as well asthe current European financial crisis. We apply a Dynamic ConditionalCorrelation (DCC) GARCH model to a set of market s fundamental variables andGreece s financial market and microeconomic indexes to study their interaction.Emphasis is given on the period of severe financial crisis of the Country tounderstand contagion and volatility spillover between these two markets.

Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece