Investigating efficiency in the U.S sulfur dioxide permit market

Mohamed Boutaba ()
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Mohamed Boutaba: University of Rouen

Economics Bulletin, 2009, vol. 29, issue 2, 1308-1319

Abstract: This paper constitutes –to our best knowledge– the first empirical analysis investigating long-run and short-run efficiency in the U.S sulfur dioxide (SO2) permit futures market with respect to its ability to unbiasedly predict future spot prices, using cointegration and error-correction models. Empirical results show that the market is inefficient, suggesting the presence of profitable arbitrage opportunities among U.S SO2 permit prices. In light of our findings, we recommend that market actors consider warily the information incorporated in SO2 futures prices.

Keywords: U.S SO2 permit market; market efficiency; cointegration; Error correction model. (search for similar items in EconPapers)
JEL-codes: G1 Q5 (search for similar items in EconPapers)
Date: 2009-06-05
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