Liquidity and Price Discovery in the European C02 Futures Market: An Intraday Analysis

Benz, Eva; Hengelbrock, Jördis

doi:10.2139/ssrn.1220389

Cited by 9 publications

(10 citation statements)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They report that about 90% of the price discovery in the EU-ETS takes place on the ECX. Their results which are based on data from Phase II of the EU-ETS confirms the results of Benz and Klar (2008) who employ data from Phase I of the scheme. Our study differs from the aforementioned studies in that we focus on efficiency in relation to the intraday evolution of price discovery and trading activity.…”

Section: [Insert Table 1 Here]supporting

confidence: 73%

“…It seems that there is a correlation between low probability of trade reversal and the implausible estimates. For this paper we report only the trade aggregator estimation and there is no evidence of this problem since our estimates are comparable to those of Benz and Klar (2008)…”

mentioning

confidence: 87%

“…NordPool) in the EU-ETS and Rittler (2011) on price leadership between two instruments (spot and futures contracts). While Benz and Klar (2008) conclude that the ECX leads price discovery, Rittler (2011) shows that futures contracts lead price discovery. Using a different methodology, Cason and Gangadharan (2011) conduct a laboratory examination of price discovery in linked emissions trading markets.…”

Section: [Insert Table 1 Here]mentioning

confidence: 99%

“…Most 6 of the contributions in this area have been on upstream issues such as initial allocation of emission permits and market conception (Convery, 2009). Benz and Klar (2008) were the first to provide an analysis of price discovery in the European carbon futures market by investigating estimated transaction costs in Phase I (2005)(2006)(2007) of the EU-ETS using intraday data. Similarly, Rittler (2011) was the first to study price discovery and causality in the early part of Phase II of the EU-ETS.…”

Section: [Insert Table 1 Here]mentioning

confidence: 99%

“…Similarly, Rittler (2011) was the first to study price discovery and causality in the early part of Phase II of the EU-ETS. Benz and Klar (2008) focus on price leadership between two platforms (European Carbon Exchange (ECX) and…”

Section: [Insert Table 1 Here]mentioning

confidence: 99%

See 4 more Smart Citations

Price Discovery and Trading after Hours: New Evidence from the World’s Largest Carbon Exchange

2011

View full text Add to dashboard Cite

We investigate the impact of after-hours trading on magnitude and timing of price discovery over the close-to-close period on the world's largest carbon trading platform, the European Climate Exchange (ECX). Low volume trading in carbon financial instruments can lead to relatively high levels of price discovery but the generated pricing has low efficiency levels. This is informed by the high levels of informed trades and low levels of liquidity trades. Our results show higher trading volume per minute and price efficiency for after-hours when compared with regular trading hours. As a result of higher proportion of informed trades, adverse selection costs for trades during the after-hours are significantly larger than those for trades during the regular trading-day.

show abstract

Section: [Insert Table 1 Here]supporting

confidence: 73%

mentioning

confidence: 87%

Section: [Insert Table 1 Here]mentioning

confidence: 99%

Section: [Insert Table 1 Here]mentioning

confidence: 99%

Section: [Insert Table 1 Here]mentioning

confidence: 99%

See 3 more Smart Citations

Price Discovery and Trading after Hours: New Evidence from the World’s Largest Carbon Exchange

2011

View full text Add to dashboard Cite

show abstract

Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period

Trück

Weron

2016

Journal of Futures Markets

View full text Add to dashboard Cite

We examine convenience yields and risk premiums in the EU‐wide CO2 emissions trading scheme (EU‐ETS) during the first Kyoto commitment period (2008–2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU‐ETS spot market. Our findings suggest that the drop in risk‐free rates during and after the financial crisis has impacted on the deviation from the cost‐of‐carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587–611, 2016

show abstract

Cleaning the carbon market! Market transparency and market efficiency in the EU ETS

Kalaitzoglou

2024

Ann Oper Res

View full text Add to dashboard Cite

Liquidity and Price Discovery in the European C02 Futures Market: An Intraday Analysis

Cited by 9 publications

References 23 publications

Price Discovery and Trading after Hours: New Evidence from the World’s Largest Carbon Exchange

Price Discovery and Trading after Hours: New Evidence from the World’s Largest Carbon Exchange

Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period

Cleaning the carbon market! Market transparency and market efficiency in the EU ETS

Contact Info

Product

Resources

About