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Visible and Invisible Forces: What Drives the Intensity of Trading in the European Carbon Market?

Author

Listed:
  • Iordanis Kalaitzoglou

    (Audencia Business School)

Abstract

"This study models the trading intensity in European Allowances (EUA) futures contracts in the European Climate Exchange (ECX) using various specifications and investigates the forecasting ability of observable versus unobservable factors. This set up tests empirically the impact of the evolving market structure through regulatory updates, captured by trading volume fluctuations, to the intensity of trading in the European Carbon market. The findings suggest that observable market characteristics capture better the dynamics of trading intensity than their latent counterparts, which implies that regulatory changes that enhance transparency would also improve market efficiency."

Suggested Citation

  • Iordanis Kalaitzoglou, 2019. "Visible and Invisible Forces: What Drives the Intensity of Trading in the European Carbon Market? ," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 11(1), pages 117-144, July.
    • Handle: RePEc:ren:journl:v:11:y:2019:i:1:p:117-144
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    File URL: https://openjournals.uwaterloo.ca/index.php/rofea/article/view/1519/1938
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    Cited by:

    1. Fan, Xinghua & Lv, Xiangxiang & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Multifractality and market efficiency of carbon emission trading market: Analysis using the multifractal detrended fluctuation technique," Applied Energy, Elsevier, vol. 251(C), pages 1-1.

    More about this item

    Keywords

    Carbon market; Duration modelling Ultra-High Frequency data;

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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