Disposition in the Carbon Market and Institutional Constraints

Leon Vinokur
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Leon Vinokur: Queen Mary, University of London

No 652, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper investigates the impact of banking and submission constraints, set by the EU Emission Trading Scheme, on the efficiency of the carbon permits spot market using intra-daily data. My aim is to identify whether there is a Disposition effect in the spot market. I will examine a data set that includes spot prices for the First and Second Phases of the Scheme from 24 June 2005 to 07 August 2009. I find that the Disposition effect is significantly high at the beginning of each Phase and decreases close to the first compliance event. In the light of these results I propose a lifting of the ban on banking between Phases and an increased emissions information disclosure in order to increase the efficiency of the Scheme.

Keywords: Carbon market; Psychological biases; Institutional constraints (search for similar items in EconPapers)
JEL-codes: D84 G11 G18 Q48 (search for similar items in EconPapers)
Date: 2009-10-01
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:652

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