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Study on the wandering weekday effect of the international carbon market based on trend moderation effect

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  • Zhang, Chen
  • Yun, Po
  • Wagan, Zulfiqar Ali

Abstract

The wandering weekday effect of the international carbon market is a neglected topic. This paper investigates the wandering weekday effect of the international carbon market under the moderation effect of market trend. Our results show that there is a positive wandering Monday and negative wandering Tuesday effect when the market is rising, and a negative wandering Monday and positive wandering Tuesday effect when the market is falling. Further studies find that the settlement procedures, information disclosure and the determinants of carbon prices are stronger reasons of the wandering weekday effect. The conclusion provides new evidence for the study of market-efficiency in international carbon market.

Suggested Citation

  • Zhang, Chen & Yun, Po & Wagan, Zulfiqar Ali, 2019. "Study on the wandering weekday effect of the international carbon market based on trend moderation effect," Finance Research Letters, Elsevier, vol. 28(C), pages 319-327.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:319-327
    DOI: 10.1016/j.frl.2018.05.014
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    References listed on IDEAS

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    Cited by:

    1. Luo, Kevin & Tian, Shuairu, 2020. "The “Black Thursday” effect in Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Po Yun & Chen Zhang & Yaqi Wu & Yu Yang, 2022. "Forecasting Carbon Dioxide Price Using a Time-Varying High-Order Moment Hybrid Model of NAGARCHSK and Gated Recurrent Unit Network," IJERPH, MDPI, vol. 19(2), pages 1-19, January.

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    More about this item

    Keywords

    The international carbon market; Wandering weekday effect; Trend moderation effect; GARCH model;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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