Stylized facts of CO2 returns

Vicente Medina Martínez () and Ángel Pardo Tornero
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Vicente Medina Martínez: Facultad de Economía
Ángel Pardo Tornero: Dpto. Economía Financiera y Actuarial

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: The listing of a new asset requires the knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, we study the stylized facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive correlation with bonds, typical of commodity futures, are also detected. Therefore, our results indicate that EUAs returns do not behave like common commodity futures or financial assets, and point to the fact that EUAs are a new asset class.

Keywords: European Union Allowances (EUAs); Stylized Fact; Asset Class; Commodity (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2012-05
New Economics Papers: this item is included in nep-rmg
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http://www.ivie.es/downloads/docs/wpasad/wpasad-2012-14.pdf Fisrt version / Primera version, 2012 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2012-14

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