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Article: Weak-form efficiency of European Union emission trading scheme - Evidence from variance ratio tests

TitleWeak-form efficiency of European Union emission trading scheme - Evidence from variance ratio tests
Authors
KeywordsEu Ets
Eua
European Union Allowance
European Union Emission Trading Scheme
Variance Ratio Test
Weak-Form Efficiency
Issue Date2010
PublisherInderscience Publishers. The Journal's web site is located at http://www.inderscience.com/ijge
Citation
International Journal Of Green Economics, 2010, v. 4 n. 2, p. 183-196 How to Cite?
AbstractIn this paper, we applied single period and multiple period variance ratio (VR) tests to European Union allowance (EUA) spot and futures data since their availability in June 2005 and April 2005 respectively up to the end of January 2010. Comparing Phase 1 (2005-2007) and Phase 2 (2008-2012), we find that the products traded in Phase 2 show weaker rejection against the random walk hypothesis than the products traded in Phase 1. We further divide the two phases into four sub periods, 2005/06/24 for spots and 2005/04/25 for futures to 2006/04/26, 2006/04/27 to 2007/12/31 as Phase 1, 2008/02/26 for spots and 2008/01/03 for futures to 2008/12/15 and 2008/12/16 to 2010/01/28 as Phase 2. It is revealed that even the products traded in the later stage in Phase 1 after the price adjustment on 26th April 2006 showed much weaker rejection than the primary stage of the market. Thus, it is proven that the market efficiency is improving from Phase 1 to Phase 2 and the market has turned more efficient after the adjustment on 26th April 2006. Copyright © 2010 Inderscience Enterprises Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/168477
ISSN
2015 SCImago Journal Rankings: 0.148
References

 

DC FieldValueLanguage
dc.contributor.authorLu, Wen_US
dc.contributor.authorWang, Wen_US
dc.date.accessioned2012-10-08T03:19:25Z-
dc.date.available2012-10-08T03:19:25Z-
dc.date.issued2010en_US
dc.identifier.citationInternational Journal Of Green Economics, 2010, v. 4 n. 2, p. 183-196en_US
dc.identifier.issn1744-9928en_US
dc.identifier.urihttp://hdl.handle.net/10722/168477-
dc.description.abstractIn this paper, we applied single period and multiple period variance ratio (VR) tests to European Union allowance (EUA) spot and futures data since their availability in June 2005 and April 2005 respectively up to the end of January 2010. Comparing Phase 1 (2005-2007) and Phase 2 (2008-2012), we find that the products traded in Phase 2 show weaker rejection against the random walk hypothesis than the products traded in Phase 1. We further divide the two phases into four sub periods, 2005/06/24 for spots and 2005/04/25 for futures to 2006/04/26, 2006/04/27 to 2007/12/31 as Phase 1, 2008/02/26 for spots and 2008/01/03 for futures to 2008/12/15 and 2008/12/16 to 2010/01/28 as Phase 2. It is revealed that even the products traded in the later stage in Phase 1 after the price adjustment on 26th April 2006 showed much weaker rejection than the primary stage of the market. Thus, it is proven that the market efficiency is improving from Phase 1 to Phase 2 and the market has turned more efficient after the adjustment on 26th April 2006. Copyright © 2010 Inderscience Enterprises Ltd.en_US
dc.languageengen_US
dc.publisherInderscience Publishers. The Journal's web site is located at http://www.inderscience.com/ijgeen_US
dc.relation.ispartofInternational Journal of Green Economicsen_US
dc.subjectEu Etsen_US
dc.subjectEuaen_US
dc.subjectEuropean Union Allowanceen_US
dc.subjectEuropean Union Emission Trading Schemeen_US
dc.subjectVariance Ratio Testen_US
dc.subjectWeak-Form Efficiencyen_US
dc.titleWeak-form efficiency of European Union emission trading scheme - Evidence from variance ratio testsen_US
dc.typeArticleen_US
dc.identifier.emailLu, W:luwei@hku.hken_US
dc.identifier.authorityLu, W=rp00754en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1504/IJGE.2010.035339en_US
dc.identifier.scopuseid_2-s2.0-77957596655en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77957596655&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume4en_US
dc.identifier.issue2en_US
dc.identifier.spage183en_US
dc.identifier.epage196en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridLu, W=27868087600en_US
dc.identifier.scopusauthoridWang, W=36538410300en_US

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