How integrated is the European carbon ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
How integrated is the European carbon derivatives market?
Auteur(s) :
Mazza, Paolo [Auteur]
Lille économie management - UMR 9221 [LEM]
Petitjean, Mikael [Auteur]
Lille économie management - UMR 9221 [LEM]
Lille économie management - UMR 9221 [LEM]
Petitjean, Mikael [Auteur]
Lille économie management - UMR 9221 [LEM]
Titre de la revue :
Finance Research Letters
Pagination :
18--30
Éditeur :
Elsevier
Date de publication :
2015-11
ISSN :
1544-6123
Mot(s)-clé(s) en anglais :
Carbon
Derivatives
EU ETS
Cointegration
Volatility
Futures
Derivatives
EU ETS
Cointegration
Volatility
Futures
Discipline(s) HAL :
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >
Lire la suite >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.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :