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London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS

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  • Stefan, Martin
  • Wellenreuther, Claudia

Abstract

Futures for European carbon emission allowances are currently traded on the ICE in London and the EEX in Leipzig. We investigate which of these exchanges dominates price discovery and find that the ICE is the price leader.

Suggested Citation

  • Stefan, Martin & Wellenreuther, Claudia, 2020. "London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS," Economics Letters, Elsevier, vol. 188(C).
    • Handle: RePEc:eee:ecolet:v:188:y:2020:i:c:s016517652030029x
    DOI: 10.1016/j.econlet.2020.108990
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Fassas, Athanasios P., 2021. "Price discovery in US money market benchmarks: LIBOR vs. SOFR," Economics Letters, Elsevier, vol. 204(C).
    2. Rannou, Yves & Boutabba, Mohamed Amine & Barneto, Pascal, 2021. "Are Green Bond and Carbon Markets in Europe complements or substitutes? Insights from the activity of power firms," Energy Economics, Elsevier, vol. 104(C).
    3. Chunguang Sheng & Guangyu Wang & Yude Geng & Lirong Chen, 2020. "The Correlation Analysis of Futures Pricing Mechanism in China’s Carbon Financial Market," Sustainability, MDPI, vol. 12(18), pages 1-20, September.
    4. Feng, Ling & Wang, Jieyu, 2023. "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, vol. 86(C).
    5. Yves Rannou & Pascal Barneto & Mohamed Amine Boutabba, 2020. "Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities," Working Papers hal-02981422, HAL.
    6. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Price discovery in carbon exchange traded fund markets," International Review of Financial Analysis, Elsevier, vol. 89(C).

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    More about this item

    Keywords

    Carbon; Price discovery; EUA; Futures markets; ETS;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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