The time series of daily mean electricity prices which have been formed in European Power Exchanges are analyzed in this article. The objective of this work is to characterize the degree of correlation between prices in wholesale power markets, which are defined as environment where electricity generators and distributors deal.In a competitive environment these prices can be determined by supply and demand functions and are influenced by various factors such as fuel prices, temperature, wind speed, precipitations, CO2 and economic growth. As electricity prices have specific and unique characteristics, such as seasonality and highly volatile wholesale prices, they are motivated to use an appropriate time series model to study the relationship between prices in different European marketplaces. Considering this, additive regression model was used in order to estimate the relationship between prices in European wholesale markets.Correlation and regression analysis proved that bulk prices of electricity in Europe are heavily related but there are first initial steps of such correlation, although market design is similar among countries and there is an increase in spot market volume, where liquidity and foreign trade take place. Price analysis showed that wholesale prices in Finland, Sweden and Norway are lower than in other European power markets. It is not surprising, because the large proportion of energy is generated in hydro plants. On the other hand wholesale prices are very volatile in Germany, France and as it was seen prices started to rise since the beginning of 2005.