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Testing the Speculative Efficiency Hypothesis on CO 2 Emission Allowance Prices: Evidence from Bluenext

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Author Info

  • Amélie Charles

    (Audencia - Audencia)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

  • Jessica Fouilloux

    (CREM - Centre de Recherche en Economie et Management - CNRS : UMR6211 - Université de Rennes I - Université de Caen)

Abstract

In this paper, we attempt to examine the speculative efficiency hypothesis on CO2 emission allowance prices negotiated on Bluenext, by testing the rela- tionship between futures and spot prices from the Fama (1970) framework. This approach is based on the joint hypothesis of no risk premium and unbiasedness of futures prices. Cointegration tests are performed to confirm the legitimacy of futures and spot prices being included in the regression, following the approach proposed by Balke and Fomby (1997). The results indicate the absence of linear and nonlinear cointegration relationship between spot and futures prices. The speculative efficiency hypothesis did not hold even if the joint hypothesis is not rejected because of the existence of serial correlation in the residuals.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00570307.

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Date of creation: 31 Jan 2011
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Handle: RePEc:hal:wpaper:hal-00570307

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00570307/en/
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