Information Linkages between Emission Allowance and Energy Markets

We employ a rational expectations framework similar to Fleming, Kirby and Ostdiek (1998) to examine volatility and information linkages between the emission allowance and energy markets as well as the sources thereof. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market

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Year of publication:	2014
Authors:	Schultz, Emma ; Swieringa, John
Publisher:	[S.l.] : SSRN
Subject:	Emissionshandel \| Emissions trading \| Energiemarkt \| Energy market \| EU-Staaten \| EU countries \| Treibhausgas-Emissionen \| Greenhouse gas emissions

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Extent:	1 Online-Ressource (38 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 25, 2014 erstellt
Other identifiers:	10.2139/ssrn.2121208 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014167222