Studies on the benefits of electricity markets integration are scarce. With particular attention to the Romanian day-ahead electricity market (DAM), we analyze electricity prices’ seasonality and volatility and observe whether changes occurred after the 4 M Market Coupling project implementation. The focus lies on assessing the seasonal and cyclical components of DAM prices and coal/wind-based electricity generation. We address the changes in time series’ models that occurred after the DAM coupling and determine stationary models for those time series. The Dickey–Fuller test, augmented with qualitative variables assigned to seasons, days of the week, and legal holidays is our proposed method. Market integration could not prevent price spikes. The post-coupling period is characterized by smaller differences between peak and off-peak prices. This might indicate a positive effect (ceteris paribus) of market coupling on reducing price volatility. Most price models show complex dependencies on seasons, days, and dummies.

关于电力市场一体化的好处的研究很少。我们特别关注罗马尼亚的日前电力市场（DAM），分析电价的季节性和波动性，并观察实施4 M市场耦合项目后是否发生了变化。重点在于评估DAM价格和煤炭/风能发电的季节性和周期性成分。我们解决了DAM耦合后发生的时间序列模型的变化，并确定了这些时间序列的平稳模型。我们建议的方法是在Dickey-Fuller检验中增加定性变量，这些定性变量分配给季节，星期几和法定假日。市场一体化无法阻止价格飙升。耦合后时期的特点是高峰和非高峰期价格之间的差异较小。ceteris paribus）减少价格波动的市场耦合。大多数价格模型显示出对季节，天数和假人的复杂依赖性。