Missing trader fraud on the emissions market

Marius-Cristian Frunza (), Dominique Guegan () and Fabrice Thiebaut ()
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Marius-Cristian Frunza: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Sagacarbon - Subsidiary of Caisse des Dépôts et Consignations
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Fabrice Thiebaut: Sagacarbon - Subsidiary of Caisse des Dépôts et Consignations

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Abstract: The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the consequences on its econometric features.

Keywords: COE; Econometrie; fraud; Econométrie; fraude (search for similar items in EconPapers)
Date: 2010-08
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00523512v1
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Citations: View citations in EconPapers (7)

Published in 2010

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00523512

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