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Futures price dynamics of CO2 emission allowances : an empirical analysis of the trial period
Uhrig-Homburg, Marliese; Wagner, Michael - In: The journal of derivatives : the official publication … 17 (2009/10) 2, pp. 73-88
Persistent link: https://www.econbiz.de/10003925811
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Price Impact of Block Trades : The Curious Case of Downstairs Trading in the EU Emissions Futures Market
Ibikunle, Gbenga - 2016
Using high-frequency data from the European Climate Exchange (ECX), we examine the determinants of price impact of €21 billion-worth of block trades during 2008-2011 in the European carbon market. We find that wider bid-ask spreads and volatility are characterised by smaller price impact....
Persistent link: https://www.econbiz.de/10013008462
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London vs. Leipzig : price discovery of carbon futures during Phase III of the ETS
Stefan, Martin; Wellenreuther, Claudia - In: Economics letters 188 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012227862
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Time-frequency connectedness and spillover among carbon, climate, and energy futures : determinants and portfolio risk management implications
Mohammad Enamul Hoque; Low, Soo Wah; Syed Mabruk Billah - In: Energy economics 127 (2023) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10014490834
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Price dynamics of European CO2 allowances : an equilibrium model and a reduced-form analysis
He, Sha - 2012
Persistent link: https://www.econbiz.de/10009563808
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Testing market efficiency and price discovery in European carbon markets
Milunovich, George; Joyeux, Roselyne - 2007
Persistent link: https://www.econbiz.de/10003464295
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Liquidity and resolution of uncertainty in the European carbon futures market
Kalaitzoglou, Iordanis Angelos; Ibrahim, Boulis Maher - In: International review of financial analysis 37 (2015), pp. 89-102
Persistent link: https://www.econbiz.de/10011317249
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Modelling the dynamics of European carbon futures price : a Zipf analysis
Zhu, Bangzhu; Ma, Shujiao; Chevallier, Julien; Wei, Yi-Ming - In: Economic modelling 38 (2014), pp. 372-380
Persistent link: https://www.econbiz.de/10010419048
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A Note On Emissions Trading : The Pricing Of Carbon Derivatives
Bloch, Daniel Alexandre - 2013
underlying. To bridge the gap between theory and practice, we are going to devise a market model consistent with the features …
Persistent link: https://www.econbiz.de/10013094173
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EU emission allowances and the stock market : evidence from the electricity industry
Oberndorfer, Ulrich (contributor) - 2008
This paper constitutes to our best knowledge the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes and...
Persistent link: https://www.econbiz.de/10003745110