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Disposition in the Carbon Market and Institutional Constraints

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  • Leon Vinokur

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    (Queen Mary, University of London)

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    Abstract

    This paper investigates the impact of banking and submission constraints, set by the EU Emission Trading Scheme, on the efficiency of the carbon permits spot market using intra-daily data. My aim is to identify whether there is a Disposition effect in the spot market. I will examine a data set that includes spot prices for the First and Second Phases of the Scheme from 24 June 2005 to 07 August 2009. I find that the Disposition effect is significantly high at the beginning of each Phase and decreases close to the first compliance event. In the light of these results I propose a lifting of the ban on banking between Phases and an increased emissions information disclosure in order to increase the efficiency of the Scheme.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp652.pdf
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    Bibliographic Info

    Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 652.

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    Date of creation: Oct 2009
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    Handle: RePEc:qmw:qmwecw:wp652

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    Keywords: Carbon market; Psychological biases; Institutional constraints;

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