In this paper, we study the relationship between futures and spot prices in the European carbon markets from the cost-of-carry hypothesis. The aim is to investigate the extent of efficiency market. The three main European markets (BlueNext, EEX and ECX) are analyzed during Phase II, covering the...

In this paper, we attempt to examine the speculative efficiency hypothesis on CO2 emission allowance prices negotiated on Bluenext, by testing the relationship between futures and spot prices from the Fama (1970) framework. This approach is based on the joint hypothesis of no risk premium and...

This study examines the martingale difference hypothesis (MDH) for the market of carbon emission allowances within the European Union Emission Trading Scheme (EU ETS) during the Phase I and the Phase II, using both daily and weekly data over the period 2005--2009. The weak-form efficient market...