In this study, behavior of spot electricity prices against the shock in Denmark, Finland, Sweden, Norway which have a large share of the Nordic electricity market are investigated. The series include 1024 observations as a daily frequency between 22.04.2013 and 09.02.2016. SE1, SE2, SE3 and SE4; FI; DK1, DK2 display spot electricity prices respectively in Sweden, Finland and Denmark. Also; Oslo, Kr. sand, Bergen Molde, Tr. heim ve Tromsa show spot electricity prices in Norway. The findings at the end of analysis indicate that series are not stationary and shocks have permanent impact on the series. Empirical findings of the Nason test shows regions that economics shocks have permanent impact on the series.