This paper fills the gap in the literature that the functions of the European Union Allowance (EUA) futures have only been studied in the pilot phase of the European Union Emission Trading Scheme (EU ETS) and no market evolvement has been explored. The cost-of-carry pricing efficiency of the EUA...

This paper uses a Vector Error Correction Model (VECM), a method to estimate the adjustment speed of variables toward their long-run relationship in the short run, to investigate the dynamic relationship between the prices of EUA, coal, natural gas and electricity futures. It finds that there is...

In this paper, we applied single period and multiple period variance ratio (VR) tests to European Union allowance (EUA) spot and futures data since their availability in June 2005 and April 2005 respectively up to the end of January 2010. Comparing Phase 1 (2005-2007) and Phase 2 (2008-2012), we...