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Article: An investigation into the evolved relationship between spot and futures in the European Union Emission Trading Scheme

TitleAn investigation into the evolved relationship between spot and futures in the European Union Emission Trading Scheme
Authors
KeywordsCointegration
Eu Ets
European Union Emission Trading Scheme
Futures
Granger Causality
Spot
Issue Date2011
PublisherInderscience Publishers. The Journal's web site is located at http://www.inderscience.com/ijge
Citation
International Journal Of Green Economics, 2011, v. 5 n. 2, p. 133-142 How to Cite?
AbstractThis paper fills the gap in the literature that the functions of the European Union Allowance (EUA) futures have only been studied in the pilot phase of the European Union Emission Trading Scheme (EU ETS) and no market evolvement has been explored. The cost-of-carry pricing efficiency of the EUA futures and information spillover between the EUA spot market and futures market are examined in Phase I (2005-2007) and Phase II (2008-2012), respectively. First, it was found that only the December 2007 futures price was in long-run equilibrium with the spot price, but the relationship was not given by a cost-of-carry model. Second, the information spillover pattern also changed from Phase I to Phase II. The leading role of futures contract in price discovery can only be seen in Phase I, but not in Phase II. We conclude that, in the second phase of EU ETS, the market fundamentals are imposing stronger impacts on EUA price formation while the impact from speculation has weakened significantly. Copyright © 2011 Inderscience Enterprises Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/168564
ISSN
2015 SCImago Journal Rankings: 0.148
References

 

DC FieldValueLanguage
dc.contributor.authorLu, Wen_US
dc.contributor.authorWang, WJen_US
dc.date.accessioned2012-10-08T03:20:46Z-
dc.date.available2012-10-08T03:20:46Z-
dc.date.issued2011en_US
dc.identifier.citationInternational Journal Of Green Economics, 2011, v. 5 n. 2, p. 133-142en_US
dc.identifier.issn1744-9928en_US
dc.identifier.urihttp://hdl.handle.net/10722/168564-
dc.description.abstractThis paper fills the gap in the literature that the functions of the European Union Allowance (EUA) futures have only been studied in the pilot phase of the European Union Emission Trading Scheme (EU ETS) and no market evolvement has been explored. The cost-of-carry pricing efficiency of the EUA futures and information spillover between the EUA spot market and futures market are examined in Phase I (2005-2007) and Phase II (2008-2012), respectively. First, it was found that only the December 2007 futures price was in long-run equilibrium with the spot price, but the relationship was not given by a cost-of-carry model. Second, the information spillover pattern also changed from Phase I to Phase II. The leading role of futures contract in price discovery can only be seen in Phase I, but not in Phase II. We conclude that, in the second phase of EU ETS, the market fundamentals are imposing stronger impacts on EUA price formation while the impact from speculation has weakened significantly. Copyright © 2011 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.subjectCointegrationen_US
dc.subjectEu Etsen_US
dc.subjectEuropean Union Emission Trading Schemeen_US
dc.subjectFuturesen_US
dc.subjectGranger Causalityen_US
dc.subjectSpoten_US
dc.titleAn investigation into the evolved relationship between spot and futures in the European Union Emission Trading Schemeen_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.2011.042554en_US
dc.identifier.scopuseid_2-s2.0-80053019471en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-80053019471&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume5en_US
dc.identifier.issue2en_US
dc.identifier.spage133en_US
dc.identifier.epage142en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridLu, W=27868087600en_US
dc.identifier.scopusauthoridWang, WJ=35270483900en_US

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