Electricity is one of the most commonly consumed commodities all over the world and its consumption is often associated with the welfare of the society. Concurrent with the global onset of power sector reforms aimed at unbundling and deregulating the sector, energy exchanges have emerged as institutions for facilitating competitive trade in electricity. India has established three energy exchanges; however, unlike commodity exchanges, the efficacy of energy exchanges remains underexamined, particularly in the Indian context. The key questions are: 1) Who are the major beneficiaries of this new market mechanism? 2) Are retail consumers being benefitted? This study first investigates the relationship between price and traded volume in electricity exchanges worldwide. Deploying the generalised method of moments (GMM) estimation on panel data from the day-ahead market of exchanges in 20 countries for the period 2015–2020, this study finds that an increase in the share of exchange-traded electricity in a country’s total electricity consumption significantly reduces the price. Then a critical analysis of the Indian electricity exchanges in this study reveals that even after 13 years of operations, consumers do not derive surplus which is expected from commodity exchanges. Thus, technological success in establishing energy exchanges does not automatically translate into economic benefits. This gets reflected in the low share of exchange-traded electricity in the Indian electricity market. This brings forth new insights into the design and operation of this important market, which are of global relevance given that many other developing countries are in the process of setting up energy exchanges.