Catalysts for price discovery in the European Union Emissions Trading System

Emma Schultz and John Swieringa ()

Journal of Banking & Finance, 2014, vol. 42, issue C, 112-122

Abstract: We provide the first evidence on catalysts for price discovery in the European Union Emissions Trading System. Specifically, by employing high frequency data across a wide range of fungible securities, we find that trading costs are a more important determinant of price discovery than either the implicit provision of leverage in securities such as futures and options or the existence of market segmentation. Moreover, securities with low trading costs display greater price discovery than those with high trading costs.

Keywords: Price discovery; Trading costs; Emissions trading (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:42:y:2014:i:c:p:112-122

DOI: 10.1016/j.jbankfin.2014.01.012

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