Abstract: For the countries with electricity market-orientation, electric financial derivatives transactions have been introduced into the market construction, and the electric financial derivatives have been attracted more and more attentions as an important market risk management tool. By taking the Australian electric financial market as an example, this research introduces its market development process, market organization and typical products with special stress on analyzing the electricity swap, futures and options, and summarizes the experiences of the country’s market operation. Based on the current situation of electricity market in China, we propose the implications of Australia’s experiences for improving China’s electricity market construction in six aspects, including market system, market access, product design, transaction organization, settlement mechanism and risk prevention.