Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/3013

Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Carbon trading thickness and market efficiency
Authors: Montagnoli, Alberto
de, Vries Frans
Contact Email: f.p.devries@stir.ac.uk
Keywords: carbon trading
efficient market hypothesis
thin trading
variance ratio tests
EU ETS
Issue Date: Nov-2010
Publisher: Elsevier
Citation: Montagnoli A & de Vries F (2010) Carbon trading thickness and market efficiency, Energy Economics, 32 (6), pp. 1331-1336.
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: Journal Article
URI: http://hdl.handle.net/1893/3013
URL: http://www.sciencedirect.com/science/journal/01409883
DOI Link: http://dx.doi.org/10.1016/j.eneco.2010.04.001
Rights: Published in Energy Economics by Elsevier. Energy Economics, Volume 32, Issue 6, November 2010, pp. 1331 - 1336.; This is the peer reviewed version of this article.; NOTICE: this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, VOL 32, ISSUE 6, (November 2010). DOI 10.1016/j.eneco.2010.04.001.
Affiliation: Economics
Economics

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