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Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I

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  • Balietti, Anca Claudia

Abstract

This paper studies the relation between the trading activity of market participants and the volatility of the European Emission Allowance price during Phase I of the European Union Emission Trading System (EU ETS). We focus on the contrasting roles of different trader types.

Suggested Citation

  • Balietti, Anca Claudia, 2016. "Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I," Energy Policy, Elsevier, vol. 98(C), pages 607-620.
  • Handle: RePEc:eee:enepol:v:98:y:2016:i:c:p:607-620
    DOI: 10.1016/j.enpol.2016.09.006
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    2. Baudry, Marc & Faure, Anouk & Quemin, Simon, 2021. "Emissions trading with transaction costs," Journal of Environmental Economics and Management, Elsevier, vol. 108(C).
    3. Lin, Boqiang & Jia, Zhijie, 2017. "The impact of Emission Trading Scheme (ETS) and the choice of coverage industry in ETS: A case study in China," Applied Energy, Elsevier, vol. 205(C), pages 1512-1527.
    4. Lin, Boqiang & Jia, Zhijie, 2019. "Impacts of carbon price level in carbon emission trading market," Applied Energy, Elsevier, vol. 239(C), pages 157-170.
    5. Carlo Mari, 2020. "Stochastic NPV Based vs Stochastic LCOE Based Power Portfolio Selection Under Uncertainty," Energies, MDPI, Open Access Journal, vol. 13(14), pages 1-18, July.
    6. Zhang, Lirong & Li, Yakun & Jia, Zhijie, 2018. "Impact of carbon allowance allocation on power industry in China’s carbon trading market: Computable general equilibrium based analysis," Applied Energy, Elsevier, vol. 229(C), pages 814-827.
    7. Yinpeng Liu & Xiangyun Gao & Jianfeng Guo, 2018. "Network Features of the EU Carbon Trade System: An Evolutionary Perspective," Energies, MDPI, Open Access Journal, vol. 11(6), pages 1-16, June.
    8. Carlo Mari, 2018. "CO 2 Price Volatility Effects on Optimal Power System Portfolios," Energies, MDPI, Open Access Journal, vol. 11(7), pages 1-18, July.
    9. Lv, Miaochen & Bai, Manying, 2021. "Evaluation of China's carbon emission trading policy from corporate innovation," Finance Research Letters, Elsevier, vol. 39(C).
    10. Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
    11. Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 196150, ZBW - Leibniz Information Centre for Economics.
    12. 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).
    13. Lin, Boqiang & Jia, Zhijie, 2018. "Impact of quota decline scheme of emission trading in China: A dynamic recursive CGE model," Energy, Elsevier, vol. 149(C), pages 190-203.
    14. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.

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