London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS

Martin Stefan and Claudia Wellenreuther

No 8719, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Futures for European carbon emission allowances resemble a relatively new class of financial assets that are currently traded on two exchanges: the ICE in London and the EEX in Leipzig. While the former features greater trading volumes, the latter hosts the majority of the primary auctions of ETS emission allowances. This letter, therefore, investigates which of these trading places dominates the carbon price discovery process. The results of various price discovery measures based on a vector error correction model indicate that the ICE leads the price discovery process of carbon futures.

Keywords: Carbon; Price Discovery; Information Leadership Share; EUA; Futures Markets; ETS (search for similar items in EconPapers)
Pages: 11 pages
Date: 2019-08
New Economics Papers: this item is included in nep-ene, nep-env and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:8719

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