Intraday price formation and volatility in the European Union emissions trading scheme : an introductory analysis


Rotfuß, Waldemar


[img]
Preview
PDF
dp09018.pdf - Published

Download (169kB)

URL: http://ub-madoc.bib.uni-mannheim.de/2355
URN: urn:nbn:de:bsz:180-madoc-23550
Document Type: Working paper
Year of publication: 2009
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: D43 G13 Q59 ,
Subject headings (SWD): Europäische Union , Umweltzertifikathandel , Preis , Volatilität
Keywords (English): EUA , EU ETS , Intraday Price Formation , Realized Volatility
Abstract: This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on price sets that are coarser than those offered by the exchanges. Second, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market (ICE Futures). The typical "U-shaped" pattern of intraday volatility, that is often observed in organized financial markets, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates of daily EUA volatility seem to have a long-memory property.
Additional information:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Rotfuß, Waldemar (2009) Intraday price formation and volatility in the European Union emissions trading scheme : an introductory analysis. 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