The Chicago Climate Exchange and market efficiency: an empirical analysis
Omid Sabbaghi () and
Navid Sabbaghi ()
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Omid Sabbaghi: University of Detroit Mercy
Navid Sabbaghi: University of San Francisco
Environmental Economics and Policy Studies, 2017, vol. 19, issue 4, 711-734
Abstract This study provides the first empirical investigation of informational efficiency for the Chicago Climate Exchange. Using daily settlement price and trading volume data for the Carbon Financial Instruments, we conduct a battery of econometric tests in assessing weak-form market efficiency for the Chicago Climate Exchange during its Phases I and II. Results of the empirical tests collectively suggest an absence of weak-form informational efficiency during Phase I, yet signs of improvement in informational efficiency during Phase II. Our results highlight the dual roles of trading activity and government regulation in promoting informationally efficient and well-functioning carbon markets in the United States.
Keywords: Market efficiency; Carbon markets; Chicago Climate Exchange (search for similar items in EconPapers)
JEL-codes: G14 G10 C58 Q56 (search for similar items in EconPapers)
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