Informational efficiency of the US SO2 permit market
AbstractWe test the information efficiency of the market for SO2 permits in the US. In order to do so, we perform a number of unit root tests and test if the changes in the SO2 permit price are serially correlated. Furthermore, we test if it would have been possible to earn a profit based on knowledge on the SO2 permit’s price history. The evidence presented in this paper suggests that this market is efficient from an informational point of view. Although one could question this hypothesis from a statistical point of view, economic significance suggests that this market is indeed efficient.
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Bibliographic InfoPaper provided by Ghent University, Faculty of Economics and Business Administration in its series Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium with number 04/250.
Length: 30 pages
Date of creation: Jun 2004
Date of revision:
SO2; tradable permits market; market efficiency; unit roots; random walk hypothesis.;
Find related papers by JEL classification:
- SO2 - - - - - -
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-05 (All new papers)
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