We evaluate the quality of prices of the EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at...

The listing of a new asset requires the knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, we study the stylized facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy...

This paper documents evidence of size clustering behavior in the European Carbon Futures Market and analyzes the circumstances under which it happens. Our findings show that carbon trades are concentrated in sizes of one to five contracts and in multiples of five. We have observed the existence...

This working paper researches the intertemporal relationship between the Ibex-35 index and Ibex-35 index futures, using sampling intervals of 1, 5 and 15 minutes. The primary objective is to determine whether movements in the futures lead subsequent movements in the index or vice versa. Next, we...

This paper examines the influence of Spanish major political events on the stock market performance. The analytical results demonstrate that there are no systematic differences in excess returns in the last two years preceding an election, that market responses are of the same magnitude when...