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Electricity wholesale markets are undergoing rapid transformation due to the increasing shares of variable renewable energy sources. We therefore asked whether trading activity is shifting from the traditionally dominant day-ahead market into the markets closer to real time. We studied the relevance of different electricity markets indirectly by analysing the price spreads between day-ahead, intraday and regulating power markets. We estimated vector autoregressive models for Denmark, Sweden and Finland for the period from 2015 to 2017 and studied the interrelationships between the price spreads and the effects of wind forecast and demand forecast errors, and other exogenous variables. We found that wind forecast errors do affect price spreads in areas with large shares of wind power generation. Demand forecast errors have an impact on almost all price spreads, except in areas with relatively low …