Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II

Amelie Charles, Olivier Darné and Jessica Fouilloux ()

Working Papers from HAL

Abstract: This study examines the martingale difference hypothesis (MDH) for the market of carbon emission allowances within the European Union Emission Trading Scheme (EU ETS) during the Phase I and the Phase II, using both daily and weekly data over the period 2005--2009. The weak-form efficient market hypothesis for spot prices negotiated on BlueNext, European Energy Exchange and NordPool is tested with new variance ratio tests developed by Kim (2009). For the Phase I, the results show that these three markets of the European Union allowances seems to be efficiency, except after the European Commission announcements of stricter Phase II allocation in October 2006. Finally, we find that the CO2 spot prices seem to be weak-form efficiency during the Phase II since the MDH is failed to reject from both daily and weekly data.

Date: 2010
Note: View the original document on HAL open archive server: https://hal.science/hal-00473727
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://hal.science/hal-00473727/document (application/pdf)

Related works:
Working Paper: Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II (2010)
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:hal:wpaper:hal-00473727

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().