Study on the wandering weekday effect of the international carbon market based on trend moderation effect

Chen Zhang, Po Yun and Zulfiqar Ali Wagan

Finance Research Letters, 2019, vol. 28, issue C, 319-327

Abstract: The wandering weekday effect of the international carbon market is a neglected topic. This paper investigates the wandering weekday effect of the international carbon market under the moderation effect of market trend. Our results show that there is a positive wandering Monday and negative wandering Tuesday effect when the market is rising, and a negative wandering Monday and positive wandering Tuesday effect when the market is falling. Further studies find that the settlement procedures, information disclosure and the determinants of carbon prices are stronger reasons of the wandering weekday effect. The conclusion provides new evidence for the study of market-efficiency in international carbon market.

Keywords: The international carbon market; Wandering weekday effect; Trend moderation effect; GARCH model (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:319-327

DOI: 10.1016/j.frl.2018.05.014

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