How integrated is the European carbon derivatives market?

Document type :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1016/j.frl.2015.07.005

Title :

How integrated is the European carbon derivatives market?

Author(s) :

Mazza, Paolo [Auteur]
Lille économie management - UMR 9221 [LEM]
Petitjean, Mikael [Auteur]
Lille économie management - UMR 9221 [LEM]

Journal title :

Finance Research Letters

Pages :

18--30

Publisher :

Elsevier

Publication date :

2015-11

ISSN :

1544-6123

English keyword(s) :

Carbon
Derivatives
EU ETS
Cointegration
Volatility
Futures

HAL domain(s) :

Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

We assess the integration dynamics on the European carbon futures market at both the intraday and daily levels. We focus on EUA futures contracts that can be traded on three trading platforms: the Intercontinental-European ...
Show more >We assess the integration dynamics on the European carbon futures market at both the intraday and daily levels. We focus on EUA futures contracts that can be traded on three trading platforms: the Intercontinental-European Climate Exchange (ICE-ECX), the NASDAQ OMX and the European Energy Exchange (EEX). We analyze trading activity for three contract maturities and find that the ECX and EEX platforms exhibit a reasonable level of integration. The price discovery process does not occur at the daily level but rather at the hourly frequency. We conclude that this market still needs to be closely monitored by the regulatory authorities.Show less >

Language :

Anglais

Popular science :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL