Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis
AbstractThis paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on price sets that are coarser than those offered by the exchanges. Second, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market (ICE Futures). The typical U-shaped pattern of intraday volatility, that is often observed in organized financial markets, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates of daily EUA volatility seem to have a long-memory property. --
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Bibliographic InfoPaper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 09-018.
Date of creation: 2009
Date of revision:
EUA; EU ETS; Intraday Price Formation; Realized Volatility;
Find related papers by JEL classification:
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q59 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-05 (All new papers)
- NEP-EEC-2009-09-05 (European Economics)
- NEP-ENE-2009-09-05 (Energy Economics)
- NEP-ENV-2009-09-05 (Environmental Economics)
- NEP-MST-2009-09-05 (Market Microstructure)
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