|Appears in Collections:||Economics Working Papers|
|Peer Review Status:||Unrefereed|
|Title:||Carbon trading thickness and market efficiency: A non-parametric test|
de, Vries Frans
|Citation:||Montagnoli A & de Vries F (2009) Carbon trading thickness and market efficiency: A non-parametric test. Stirling Economics Discussion Paper, 2009-22.|
efficient market hypothesis
variance ratio tests
|Series/Report no.:||Stirling Economics Discussion Paper, 2009-22|
|Abstract:||This note tests for the efficient market hypothesis (EMH) in the market for CO2 emission allowances in Phase I and Phase II of the European Union Emissions Trading Scheme (EU ETS). As usually is the case in emerging and non-competitive markets such as the EU ETS, trading often not occurs on a frequent basis. This has adverse implications for both the gains from permit trade as well as biases the EMH tests. Variance ratio tests are employed to adjust for the thin trading effect. The results indicate that Phase I – the trial and learning period – was inefficient, whereas the first period under Phase II shows signs of restoring market efficiency.|
|Type:||Working or Discussion Paper|
|SEDP-2009-22-Montagnoli-de-Vries.pdf||186.38 kB||Adobe PDF||View/Open|
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