With the introduction of competitive markets in the electricity industry, there is a growing demand for research in spot price modeling and forecasting. The objective of this paper is to test the hypothesis that both the conditional mean and conditional variance of electricity spot price changes are asymmetric functions of past information. For this purpose, a bilinear (BL) model with BL-GARCH errors is introduced and estimated for the Australian national electricity market (NEM). The empirical evidence suggests that the conditional mean responds asymmetrically to past information in New South Wales and Queensland electricity market. For Victoria, the conditional mean dynamics appear to be largely linear. Further, in agreement with other studies, our study indicates fairly strong evidence of asymmetries in the conditional variance for all electricity spot markets.