From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS
Price formation in the EU Emission Trading System (EU ETS) has persistently puzzled
economists and policy makers. In recent years, the empirical literature investigating this topic …
economists and policy makers. In recent years, the empirical literature investigating this topic …
[HTML][HTML] The time-varying effects of liquidity and market efficiency of the European Union carbon market: evidence from the TVP-SVAR-SV approach
M Zhong, R Zhang, X Ren - Energy Economics, 2023 - Elsevier
We use the time-varying parameter structural vector autoregression stochastic volatility (TVP-
SVAR-SV) and causality-in-quantiles methods to explore the linkage between market …
SVAR-SV) and causality-in-quantiles methods to explore the linkage between market …
Liquidity and market efficiency in the world's largest carbon market
We investigate liquidity and market efficiency on the world's largest carbon exchange,
IntercontinentalExchange Inc.'s European Climate Exchange (ECX), by using intraday short …
IntercontinentalExchange Inc.'s European Climate Exchange (ECX), by using intraday short …
Improving the liquidity of China's carbon market: Insight from the effect of carbon price transmission under the policy release
Y Song, T Liu, B Ye, Y Zhu, Y Li, X Song - Journal of Cleaner Production, 2019 - Elsevier
Through a series of policies release, the trading system of China's carbon market is being
improved, but its current liquidity is still low. To improve market liquidity, this paper analyzes …
improved, but its current liquidity is still low. To improve market liquidity, this paper analyzes …
[HTML][HTML] Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I
AC Balietti - Energy Policy, 2016 - Elsevier
This paper studies the relation between the trading activity of market participants and the
volatility of the European Emission Allowance price during Phase I of the European Union …
volatility of the European Emission Allowance price during Phase I of the European Union …
Bidirectional interactions between trading behaviors and carbon prices in European Union emission trading scheme
J Wang, F Gu, Y Liu, Y Fan, J Guo - Journal of Cleaner Production, 2019 - Elsevier
We investigate the bidirectional interactions between trading behaviors and carbon prices in
the first carbon market, ie, European Union Emissions Trading Scheme (EU ETS). The …
the first carbon market, ie, European Union Emissions Trading Scheme (EU ETS). The …
[HTML][HTML] A microstructure analysis of the carbon finance market
Abstract The European Union Emissions Trading Scheme is the key policy instrument of the
European Commission's Climate Change Program aimed at reducing greenhouse gas …
European Commission's Climate Change Program aimed at reducing greenhouse gas …
[HTML][HTML] Speculative and hedging activities in the European carbon market
JJ Lucia, M Mansanet-Bataller, Á Pardo - Energy Policy, 2015 - Elsevier
We explore the dynamics of the speculative and hedging activities in European futures
carbon markets by using volume and open interest data. A comparison of the three phases …
carbon markets by using volume and open interest data. A comparison of the three phases …
[HTML][HTML] Why do carbon prices and price volatility change?
BM Ibrahim, IA Kalaitzoglou - Journal of Banking & Finance, 2016 - Elsevier
An asymmetric information microstructural pricing model is proposed in which price
responses to information and liquidity vary with every transaction. bid-ask quotes and price …
responses to information and liquidity vary with every transaction. bid-ask quotes and price …
[HTML][HTML] The timeline of trading frictions in the European carbon market
During its trial phase (Phase I), the EU Greenhouse Gas Emission Trading Scheme (EU-
ETS) collapsed because of an over-allocation of emission allowances. We evaluate the …
ETS) collapsed because of an over-allocation of emission allowances. We evaluate the …