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Investigating efficiency in the U.S sulfur dioxide permit market

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  • Mohamed Amine Boutabba

    (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

Abstract

This paper constitutes to our best knowledge-the first empirical analysis investigating long-run and short-run efficiency in the U.S sulfur dioxide (SO2) permit futures market with respect to its ability to unbiasedly predict future spot prices, using cointegration and error-correction models. Empirical results show that the market is inefficient, suggesting the presence of profitable arbitrage opportunities among U.S SO2 permit prices. In light of our findings, we recommend that market actors consider warily the information incorporated in SO2 futures prices.

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  • Mohamed Amine Boutabba, 2009. "Investigating efficiency in the U.S sulfur dioxide permit market," Post-Print hal-03586418, HAL.
    • Handle: RePEc:hal:journl:hal-03586418
    Note: View the original document on HAL open archive server: https://hal.science/hal-03586418
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