EU Emission Allowances and the Stock Market : Evidence from the Electricity Industry


Oberndorfer, Ulrich


[img]
Preview
PDF
dp08059.pdf - Published

Download (331kB)

URL: http://ub-madoc.bib.uni-mannheim.de/2091
URN: urn:nbn:de:bsz:180-madoc-20911
Document Type: Working paper
Year of publication: 2008
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: Q48 Q43 G12 C13 ,
Subject headings (SWD): Europäische Union , Umweltzertifikathandel , Kohlendioxidemission , Elektrizitätswirtschaft
Keywords (English): EU ETS , electricity stocks , asset pricing
Abstract: This paper constitutes – to our best knowledge – the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes and stock returns of the most important European electricity corporations are shown to be positively related. This effect does not work asymmetrically, so that stock markets do not seem to react differently to EUA appreciations in comparison to depreciations. The carbon market effect is shown to be both time- and countryspecific: It is particularly strong for the period of EUA market shock in early 2006, and differs with respect to the countries where the electricity corporations analysed are headquartered. Stock market reactions to EUA volatility could not be shown.
Additional information:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Oberndorfer, Ulrich (2008) EU Emission Allowances and the Stock Market : Evidence from the Electricity Industry. Open Access [Working paper]
[img]
Preview


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item