Testing the Speculative Efficiency Hypothesis on CO 2 Emission Allowance Prices: Evidence from Bluenext

Amélie Charles (1) , Olivier Darné (2) , Jessica Fouilloux (3)

1 Audencia Recherche
2 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique
3 CREM - Centre de recherche en économie et management

In this paper, we attempt to examine the speculative efficiency hypothesis on CO2 emission allowance prices negotiated on Bluenext, by testing the rela- tionship between futures and spot prices from the Fama (1970) framework. This approach is based on the joint hypothesis of no risk premium and unbiasedness of futures prices. Cointegration tests are performed to confirm the legitimacy of futures and spot prices being included in the regression, following the approach proposed by Balke and Fomby (1997). The results indicate the absence of linear and nonlinear cointegration relationship between spot and futures prices. The speculative efficiency hypothesis did not hold even if the joint hypothesis is not rejected because of the existence of serial correlation in the residuals.

Mots clés: CO2 emission allowances; Cointegration; Spot and futures prices; Market efficiency

Domaines: Economies et finances; Gestion et management

Amélie Charles, Olivier Darné, Jessica Fouilloux. Testing the Speculative Efficiency Hypothesis on CO 2 Emission Allowance Prices: Evidence from Bluenext. 2011. ⟨hal-00570307⟩