The Effects of National Allocation Plans on Carbon Markets

Liquidity and transaction costs in the European carbon futures market

“…The common themes among financial market studies of emissions trading are carbon pricing, information asymmetry and uncertainty, and market efficiency and price discovery. [4][5][6][7][8][9][10][11][12][13] The dearth of empirical research in this area is surprising. Most research focuses on the spot EUA market, even though it accounts for only 2 per cent of EU ETS trading volume.…”

The Impact of European Union Emissions Trading Scheme (EU ETS) National Allocation Plans (NAP) on Carbon Markets

“…Additionally, we undertake the same analysis by substituting the returns series by the residual series of the regression of carbon returns, taking as independent variables the energy variables from the previous section. 14 The results are presented in Panels A, B and C of Table 5 and 6. 15 Tables 5 and 6 document that there are many events with statistically significant differences before the announcement date.…”

“…For a more in-depth examination of which type of announcement is relevant to the market, we undertake the analysis with the events considered separately. The results for the most restrictive scenario, the one considering only the announcements without any other announcement in the six days surrounding it, are presented in Ta- 14 The specification of the regression is .      15 We only present the results with the returns (residuals) standardized with the truncated mean and variance of the estimation period of 10 days.…”