How integrated is the European carbon derivatives market?

Type de document :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1016/j.frl.2015.07.005

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]

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

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 >

Langue :

Anglais

Vulgarisation :

Non

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL