Speculative and hedging activities in the European carbon market

Julio J. Lucia, Maria Mansanet-Bataller and Ángel Pardo

Energy Policy, 2015, vol. 82, issue C, 342-351

Abstract: We explore the dynamics of the speculative and hedging activities in European futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Union Emission Trading Scheme (EU ETS) reveals that (i) Phase II of the EU ETS seems to be the most speculative phase to date and (ii) the highest degree of speculative activity for every single phase occurs at the moment of listing the contracts for the first time. A seasonality analysis identifies a higher level of speculation in the first quarter of each year, related to the schedule of deadlines of the EU ETS. In addition, a time series analysis confirms that most of the speculative activity each year occurs in the front contract, whereas the hedging demand concentrates in the second-to-deliver futures contract.

Keywords: Derivatives; EUA; ECX; Open interest; Trading volume (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301421514006223
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:82:y:2015:i:c:p:342-351

DOI: 10.1016/j.enpol.2014.11.014

Access Statistics for this article

Energy Policy is currently edited by N. France

More articles in Energy Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().