How integrated is the European carbon derivatives market?

Paolo Mazza () and Mikael Petitjean

Finance Research Letters, 2015, vol. 15, issue C, 18-30

Abstract: We assess the integration dynamics on the European carbon futures market at both the intraday and daily levels. We focus on EUA futures contracts that can be traded on three trading platforms: the Intercontinental-European Climate Exchange (ICE-ECX), the NASDAQ OMX and the European Energy Exchange (EEX). We analyze trading activity for three contract maturities and find that the ECX and EEX platforms exhibit a reasonable level of integration. The price discovery process does not occur at the daily level but rather at the hourly frequency. We conclude that this market still needs to be closely monitored by the regulatory authorities.

Keywords: Carbon; Derivatives; EU ETS; Cointegration; Volatility; Futures (search for similar items in EconPapers)
JEL-codes: C58 E44 G13 G14 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Working Paper: How integrated is the European carbon derivatives market? (2015)
Working Paper: How integrated is the European carbon derivatives market? (2015)
Working Paper: How integrated is the European carbon derivatives market? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:18-30

DOI: 10.1016/j.frl.2015.07.005

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