How integrated is the European carbon derivatives market?

Abstract : We assess the integration dynamics on the European carbon futures market at both the intraday and daily levels. We focus on EUA futures contracts that can be traded on three trading platforms: the Intercontinental-European Climate Exchange (ICE-ECX), the NASDAQ OMX and the European Energy Exchange (EEX). We analyze trading activity for three contract maturities and find that the ECX and EEX platforms exhibit a reasonable level of integration. The price discovery process does not occur at the daily level but rather at the hourly frequency. We conclude that this market still needs to be closely monitored by the regulatory authorities.
Type de document :
Article dans une revue
Finance Research Letters, Elsevier, 2015, 15, pp.18--30. 〈10.1016/j.frl.2015.07.005〉
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01526028
Contributeur : Romain Boisselet <>
Soumis le : lundi 22 mai 2017 - 15:25:42
Dernière modification le : mardi 3 juillet 2018 - 11:37:15

Lien texte intégral

Identifiants

Collections

Citation

Paolo Mazza, Mikael Petitjean. How integrated is the European carbon derivatives market?. Finance Research Letters, Elsevier, 2015, 15, pp.18--30. 〈10.1016/j.frl.2015.07.005〉. 〈hal-01526028〉

Partager

Métriques

Consultations de la notice

78