Chau, Frankie; Kuo, Jing-Ming; Shi, Yukun - In: Journal of International Financial Markets, … 36 (2015) C, pp. 130-147
This paper extends Sentana and Wadhwani (SW 1992) model to study the presence of feedback trading in emissions and energy markets and the extent to which such behaviour is linked to the level of arbitrage opportunities. Applying our augmented models to the carbon emission and major energy...