The efficiency analysis of the European CO2 futures market

Bao jun Tang; Cheng Shen; Chao Gao

doi:10.1016/j.apenergy.2013.02.017

The efficiency analysis of the European CO₂ futures market

Bao jun Tang^*, Cheng Shen, Chao Gao

^*此作品的通讯作者

Beijing Institute of Technology

科研成果: 期刊稿件 › 文章 › 同行评审

37 引用（Scopus）

摘要

The European Union Emissions Trading System (EU ETS) is the main international carbon trading market, in which European Union CO₂ allowances (EUAs) are traded with increasing intensity. In order to help the market participants mitigate the market price risk, one possible way is to analyze the time range of market efficiency and the price discovery mechanism of EUA futures market and spot market. For this purpose, the paper provides the unit root test and the cointegration test for the EUA futures market during 2009-2011. Our result shows that the EUA futures market is efficient within 1month. Furthermore, it illustrates that the impact of the price will continue for 3months, examined by a vector error correction model (VECM).

源语言	英语
页（从-至）	1544-1547
页数	4
期刊	Applied Energy
卷	112
DOI	https://doi.org/10.1016/j.apenergy.2013.02.017
出版状态	已出版 - 12月 2013

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10.1016/j.apenergy.2013.02.017

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title = "The efficiency analysis of the European CO2 futures market",

abstract = "The European Union Emissions Trading System (EU ETS) is the main international carbon trading market, in which European Union CO2 allowances (EUAs) are traded with increasing intensity. In order to help the market participants mitigate the market price risk, one possible way is to analyze the time range of market efficiency and the price discovery mechanism of EUA futures market and spot market. For this purpose, the paper provides the unit root test and the cointegration test for the EUA futures market during 2009-2011. Our result shows that the EUA futures market is efficient within 1month. Furthermore, it illustrates that the impact of the price will continue for 3months, examined by a vector error correction model (VECM).",

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AB - The European Union Emissions Trading System (EU ETS) is the main international carbon trading market, in which European Union CO2 allowances (EUAs) are traded with increasing intensity. In order to help the market participants mitigate the market price risk, one possible way is to analyze the time range of market efficiency and the price discovery mechanism of EUA futures market and spot market. For this purpose, the paper provides the unit root test and the cointegration test for the EUA futures market during 2009-2011. Our result shows that the EUA futures market is efficient within 1month. Furthermore, it illustrates that the impact of the price will continue for 3months, examined by a vector error correction model (VECM).

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JO - Applied Energy

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ER -

The efficiency analysis of the European CO2 futures market

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The efficiency analysis of the European CO₂ futures market