In this paper, we address the question of market efficiency in electricity futures markets in U.S. We apply informative tests of market efficiency proposed by Phillips and Loretan (1991) to two electricity contracts (COB and Palo-Verde). Using these tests, we are able to incorporate the fundamental stochastic properties and endogeneity problems associated with spot and futures prices. Our findings show that there is no way of rejecting market efficiency in these two electricity markets based on daily electricity futures price series data although there exists a certain degree of government intervention in the electricity industry.