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Information linkages between emission allowance and energy markets

Author

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  • Emma Schultz
  • John Swieringa

Abstract

We employ a rational expectations framework similar to that proposed by Fleming et al. (1998) to examine the source, and nature of, information linkages between the emission allowance and energy markets as gauged by the correlation of return volatilities. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market.

Suggested Citation

  • Emma Schultz & John Swieringa, 2018. "Information linkages between emission allowance and energy markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 921-935, September.
    • Handle: RePEc:bla:acctfi:v:58:y:2018:i:3:p:921-935
    DOI: 10.1111/acfi.12227
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    References listed on IDEAS

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    Cited by:

    1. Gong, Xu & Shi, Rong & Xu, Jun & Lin, Boqiang, 2021. "Analyzing spillover effects between carbon and fossil energy markets from a time-varying perspective," Applied Energy, Elsevier, vol. 285(C).

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