229
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Informational efficiency of the EU ETS market – a study of price predictability and profitable trading

, &
Pages 92-123 | Received 12 Apr 2013, Accepted 11 Nov 2013, Published online: 19 Dec 2013

References

  • Aatola, P., A. Toppinen, and M. Ollikainen. 2013. “Price determination in the EU ETS market: Theory and Econometric Analysis with Market Fundamentals.” Energy Economics 36: 380–395.
  • Alberola, E., J. Chevallier, and B. Cheze. 2008. “Price Drivers and Structural Breaks in European Carbon prices 2005–2007.” Energy Policy 36: 787–797.
  • Albrecht, J., T. Verbeke, and M. De Clercq. 2006. “Informational Efficiency of the US SO2 Permit Market.” Environmental Modelling & Software 21: 1471–1478.
  • Arshanapalli, B., F.J. Fabozzi, and W. Nelson. 2011. “Modeling the Time-Varying Risk Premium Using a Mixed GARCH and Jump Diffusion Model.” SSRN Working Paper Series.
  • Baldursson, F., and N.-H. von der Fehr. 2004. “Price Volatility and Risk Exposure: On Market-Based Environmental Policy Instruments.” Journal of Environmental Economics and Management 48: 682–704.
  • Benz, E., and S. Trück. 2009. “Modelling the Price Dynamics of CO2 Emission Allowances.” Energy Economics 31: 4–15.
  • Bikhchandani, S., and S. Sharma. 2000. “Herd Behavior in Financial Markets: A Review.” IMF Working Paper No. 00/48.
  • Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31: 307–327.
  • Box, G., and G. Jenkins. 1976. Time Series Analysis: Forecasting and Control. Rev. ed. Oakland, CA: Holden-Day.
  • Brooks, C., and M.C. Oozeer. 2002. “Modeling the Implied Volatility of Options on Long Gilt Futures.” Journal of Business Finance & Accounting 29: 111–137
  • Chevallier, J. 2009. “Carbon futures and Macroeconomic Risk Factors: A View from the EU ETS.” Energy Economics 31: 614–625.
  • Christiansen, A.C., A. Arvanitakis, K. Tangen, and H. Hasselknippe. 2005. “Price Determinants in the EU Emissions Trading Scheme.” Climate Policy 5: 15–30.
  • Conrad, C., D. Rittler, and W. Rotfuss. 2012. “Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency.” Energy Economics 34: 316–326.
  • Creti, A., P.-A. Jouvet, and V. Mignon. 2012. “Carbon Price Drivers: Phase I Versus Phase II Equilibrium?” Energy Economics 34: 327–334.
  • Cross, F. 1973. “The Behavior of Stock Prices on Mondays and Fridays.” Financial Analysts Journal 29: 67–69.
  • Daskalakis, G., and R.N. Markellos. 2008. “Are the European Carbon Markets Efficient?” Review of Futures Markets 17: 103–128.
  • Delarue, E.D., and W.D. D’haeseleer. 2007. “Price Determination of ETS Allowances Through the Switching Level of Coal and Gas in the Power Sector.” International Journal of Energy Research 31: 1001–1015.
  • Diebold FX., and R. Mariano. 1995. “Comparing Forecast Accuracy.” Journal of Business Economics and Statistics 02: 142–154.
  • Dimson, E., P. Marsh, and M. Staunton. 2002. Triumph of the Optimists: 101 Years of Global Investment Returns. Princeton, NJ: Princeton University Press.
  • Engle, R.F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50 (4): 987–1007.
  • Engle, R.F., D.M. Lilien, and R.P. Robins. 1987. “Estimating Time-varying Risk Premia in the Term Structure: The ARCH-M Model.” Econometrica 55: 391–408.
  • Engle, R.F., and V.K. Ng. 1993. “Time-Varying Volatility and the Dynamic Behavior of the Term Structure.” Journal of Money, Credit and Banking 25: 336–349.
  • Fama, E.F. 1965. “Random Walks in Stock Prices.” Financial Analysts Journal 21: 55–69.
  • Fama, E.F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25: 383–417.
  • Fama, E.F. 1991. “Efficient Capital Markets: II.” The Journal of Finance 46: 1575–1617
  • Fang Y., and D. Xu. 2003. “The Predictability of Asset Returns: An Approach Combining Technical Analysis and Time Series Forecasts.” International Journal of Forecasting 19: 369–385.
  • Fezzi, C., and D.W. Bunn. 2009. “Interaction of European Carbon Trading and Energy Prices.” JEM 2 (4): 53–69.
  • Frunza, M-C. 2013. “Aftermath of the VAT Fraud on Carbon Emissions Markets.” Journal of Financial Crime 20: 222–249.
  • Gibbons, M., and P. Hess. 1981. “Day of the Week Effects and Asset Returns.” Journal of Business 579–596.
  • Granger, C.W.J., and M.H. Pesaran. 2000. “Economic and Statistical Measures of Forecast Accuracy.” Journal of Forecast 19: 537–560.
  • Groenewold, N., and K. Kang. 1993. “The Semi-Strong Efficiency of the Australian Share Market.” Economic Record 69: 405–410.
  • Gross, M. 1988. “A Semi-Strong Test of the Efficiency of the Aluminium and Copper Markets at the LME.” The Journal of Futures Markets 8: 66–77.
  • Grossman, S., and J. Stiglitz. 1980. “On the Impossibility of Informationally Efficient Markets.” American Economic Review 70: 393–408.
  • Hamilton, James. 1994. Time Series Analysis. Princeton, NJ: Princeton University Press.
  • Harvey, C.R., and R. Whaley. 1992. “Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market.” Journal of Financial Economics 31: 43–73.
  • Hintermann, B. 2010. “Allowance Price Drivers in the First Phase of the EU ETS.” Journal of Environmental Economics and Management 59: 43–56.
  • Holthausen, D.M. 1979. “Hedging and the Competitive Firm Under Price Uncertainty.” The American Economic Review 69: 989–995.
  • Hsu, P.-H., and K. Chung-Ming. 2005. “Reexamining the Profitability of Technical Analysis with Data Snooping Checks.” Journal of Financial Econometrics 3: 606–643.
  • Hwanga, S., and P. Valls Pereiarb. 2006. “Small Sample Properties of GARCH Estimates and Persistence.” The European Journal of Finance 12: 473–494.
  • Inoue, A., and L. Kilian. 2006. “On the Selection of Forecasting Models.” Journal of Econometrics 130: 273–306
  • Inoue, A., and L. Kilian. 2005. “In-Sample of Out-of-Sample Tests of Predictability: Which one Should We Use.” Econometric Reviews 23:371–402.
  • Jaraite, J., F. Convery, and C. Di Maria. 2010. “Assessing the Transaction Costs of Firms in the EU ETS: Lessons from Ireland.” Climate Policy 10: 190–215.
  • Jensen, M. 1978. “Some Anomalous Evidence Regarding Market Efficiency.” Journal of Financial Economics 6: 95–101.
  • Lanne, M., and J. Luoto. 2008. “Robustness of the Risk–return Relationship in the U.S. Stock Market.” Finance Research Letters 5: 118–127.
  • Lappi, P., K. Ollikka, and M. Ollikainen. 2010. “Optimal Fuel-mix in CHP Plants Under Stochastic Permit Price. Risk Neutrality Versus Risk Aversion.” Energy Policy 38: 1079–1086.
  • Lütkepohl, H. 2007. New Introduction to Multiple Time Series Analysis. Berlin: Springer.
  • Löschel, A., P. Heindl, V. Lo, A. Detken, and V. Alexeeva-Talebi. 2010. “KfW/ZEW CO2 Panel: Vermeiden oder kaufen - Deutsche Unternehmen im Emissionshandel.” Zeitschrift für Energiewirtschaft (ZfE) 34 (1): 39–47.
  • Maeda, A. 2004. “Impact of Banking and Forward Contracts on Tradable Permit Markets.” Environmental Economics and Policy Studies 6 (2): 66–81.
  • Malkiel, B. 2003. “Efficient Market Hypothesis and Its Critics.” Journal of Economic Perspectives 17: 59–82.
  • Mansanet-Bataller, A., Á. Pardo Tornero, and E. Valor. 2007. “CO2 Prices, Energy and Weather.” The Energy Journal 28: 67–86.
  • Miclaus, P., R. Lupu, S. Dumitrescu, and A. Bobrica. 2008. “Testing the Efficiency of the European Carbon Futures Market using Event-Study Methodology.” International Journal of Energy and Management 2: 121–128.
  • Milunovich, G., and R. Joyeux. 2010. “Testing Market Efficiency in the EU Carbon Futures Market.” Applied Financial Economics 20: 803–809.
  • Montagnoli, A., and F.P. de Vries. 2010. “Carbon Trading Thickness and Market Efficiency.” Energy Economics 32: 1331–1336.
  • Nelson, D. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 2: 347–370.
  • Nield, K., and R. Pereira. 2011. “Fraud on the European Union Emissions Trading Scheme: Effects, Vulnerabilities and Regulatory Reform.” European Energy and Environmental Law Review 20(6): 255–289.
  • Pagan A.R., and W.G. Schwert. 1990. “Alternative Models for Conditional Stock Volatility.” Journalof Econometrics 45: 267–290.
  • Paolella, M.S., and L. Taschini. 2008. “Econometric Analysis of Emission Trading Allowances.” Journal of Banking and Finance 32.
  • Pesaran, H., and A. Timmermann. 1995. “Predictability of Stock Returns: Robustness and EconomicSignificance.” The Journal of Finance 50: 1201–1228.
  • PointCarbon. 2010. Providing Critical Insights into Energy and Environmental Markets. http://www.pointcarbon.com/
  • Rickels, W., V. Duscha, A. Keller, and S. Peterson. 2007. “The Determinants of Allowance Prices in the European Emissions Trading Scheme – Can We Expect an Efficient Allowance Market 2008?” Kiel Working papers, No. 1387.
  • Roberts, H. 1967. “Statistical Versus Clinical Prediction of the Stock Market.” Unpublished manuscript. Center for Research in Security prices, University of Chicago.
  • Sanders, D.R., and M.R. Manfredo. 2005. “Forecast Encompassing as the Necessary Condition to Reject Futures Market Efficiency: Fluid Milk Futures.” AJAE.
  • Sandoff, A., and G. Schaad. 2009. “Does EU ETS Lead to Emission Reductions through Trade? TheCase of the Swedish Emissions Trading Sector Participants.” Energy Policy 37: 3967–3977.
  • State and Trends of Carbon Markets. 2010. The Carbon Finance Unit. Washington DC: World Bank. http://siteresources.worldbank.org/INTCARBONFINANCE/Resources/State_and_Trends_Updated_June_2011.pdf
  • St. Pierre, E.F. 1998. “Estimating EGARCH-M Models: Science or Art.” The Quarterly Review of Economics and Finance 38: 167–180.
  • Tendances Carbone. 2011. “Closing the Door to Fraud in the EU ETS.” Climate Brief. No4. February2011. CDC Climat Research.
  • ThomsonReuters. 2010. 3000Xtra Hosted Terminal Access. http://portal.hpd.global.reuters.com.
  • Timmermann, A., and C. Granger. 2004. “Efficient Market Hypothesis and Forecasting.” International Journal of Forecasting 20: 15–27.
  • Weigt, H. 2009. A Review of Liberalization and Modeling of Electricity Markets. Electricity Markets Working Papers, WP-EM-34. Dresden University of Technology.
  • White, H. 2000. “A Reality Check for Data Snooping.” Econometrica 68, 1097–1126.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.