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

^*Corresponding author for this work

Beijing Institute of Technology

Research output: Contribution to journal › Article › peer-review

37 Citations (Scopus)

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).

Original language	English
Pages (from-to)	1544-1547
Number of pages	4
Journal	Applied Energy
Volume	112
DOIs	https://doi.org/10.1016/j.apenergy.2013.02.017
Publication status	Published - Dec 2013

Keywords

Cointegration
European carbon futures market
Market efficiency
Vector error correction model

Access to Document

10.1016/j.apenergy.2013.02.017

Cite this

@article{5dd8b5da32454bf6a44d149d0fbe6d56,

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).",

keywords = "Cointegration, European carbon futures market, Market efficiency, Vector error correction model",

author = "Tang, {Bao jun} and Cheng Shen and Chao Gao",

year = "2013",

month = dec,

doi = "10.1016/j.apenergy.2013.02.017",

language = "English",

volume = "112",

pages = "1544--1547",

journal = "Applied Energy",

issn = "0306-2619",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - The efficiency analysis of the European CO2 futures market

AU - Tang, Bao jun

AU - Shen, Cheng

AU - Gao, Chao

PY - 2013/12

Y1 - 2013/12

N2 - 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).

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).

KW - Cointegration

KW - European carbon futures market

KW - Market efficiency

KW - Vector error correction model

UR - http://www.scopus.com/inward/record.url?scp=84884205403&partnerID=8YFLogxK

U2 - 10.1016/j.apenergy.2013.02.017

DO - 10.1016/j.apenergy.2013.02.017

M3 - Article

AN - SCOPUS:84884205403

SN - 0306-2619

VL - 112

SP - 1544

EP - 1547

JO - Applied Energy

JF - Applied Energy

ER -

The efficiency analysis of the European CO₂ futures market

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this