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This paper provides a review of pertinent trading, regulatory and policy issues in the EU-ETS since 2005. We review the first two phases of the scheme and speculate on auctioning related issues in the third phase. Our report documents a number of variables contributing to inefficiencies in Phase...
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This paper is the first empirical study to focus on the role of liquidity for futures in the European Union Emissions Trading Scheme (EU-ETS). In this large and fast growing market with a global market value of $50 billion, liquidity is fundamental because it enables entities to trade quickly...
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We examine the world's largest carbon exchange, ICE's ECX, by applying Chordia et al.'s (2008) conception of short-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and market efficiency such that when spreads narrow,...
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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....
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This book explores the microstructure of carbon markets and the pricing of carbon financial instruments generally. It provides a critical microstructure analysis of the EU Emissions Trading Scheme (EU-ETS), and also examines the theoretical and related market design issues affecting emissions...
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The EU Emissions Trading Scheme (EU-ETS), the major policy tool of the EU for achieving its Kyoto target, is the largest pollution permit market in the world. Following the lessons learned from the trial phase (2005-2007), new measures were adopted for the Kyoto commitment period (2008-2012) in...
Persistent link: https://www.econbiz.de/10014180046