The Turkish electricity market has been through a process of liberalization over the last couple of decades. From 2006, the rules of the free market were introduced which allowed for the purchase and sale of electricity from a day-ahead market on an hourly basis. This provides market participants an opportunity to hedge their positions against the real-time price fluctuations by taking positions in the dayahead forward market. Having a liberal free market raises questions regarding the effi- ciency of the market structure as well as the relationship between electricity spot price and day-ahead forward prices. Markets are considered to be efficient if it is not possible to achieve a consistent excess return over time compared to the average market return. In an efficient market, participants are not able to earn an excess profit by exploiting price differences. It is important to note that traditional market efficiency measures assumes commodities are storable. However electricity is different to other common commodities due to its non-storable nature. If the trading commodity is storable, then a market player can purchase the good today, store it for a period of time and sell in the future – expecting to gain profit through price differences. However, electricity traded on present day is a different good compared to that tomorrow as storing the electricity is not economically viable. Bessembinder and Lemmon (2002) states that since electricity cannot be economically stored and the spot power prices are volatile, the standard no-arbitrage-based approaches are not applicable for modelling forward prices. No-arbitrage-based approaches assumes an arbitrageur to hold the asset until the contract expiration date while taking a position in the underlying asset. However, in an electricity market arbitrage opportunity exists for the market participants if a persistent price difference exists between day-ahead forward prices and real-time prices.1 In theory, strategies for market participants to gain excess revenue by exploiting the price differences should make the real-time and day-ahead market prices close to each other under the assumption of no transaction costs and risk-neutral market participants.