Price discovery and volatility spillovers in the European Union emissions trading scheme

• Verfasst von: Rittler, Daniel [VerfasserIn]
• Titel: Price discovery and volatility spillovers in the European Union emissions trading scheme
• Titelzusatz: a high-frequency analysis
• Verf.angabe: Daniel Rittler
• Jahr des Originals: 2011
• Umfang: 12 S.
• Fussnoten: Available online 19 September 2011 ; Gesehen am 29.06.2018
• Titel Quelle: Enthalten in: Journal of banking and finance
• Jahr Quelle: 2012
• Band/Heft Quelle: 36(2012), 3, S. 774-785
• ISSN Quelle: 1872-6372
• DOI: doi:10.1016/j.jbankfin.2011.09.009
• Datenträger: Online-Ressource
• Sprache: eng
• K10plus-PPN: 1577042778

Abstract

This paper models the relationship of European Union Allowance spot- and futures-prices within the second commitment period of the European Union emissions trading scheme. Based on high-frequency data, we analyze the transmission of information in first and second conditional moments. To reveal long-run price discovery, we compute common factor weights of Schwarz and Szakmary (1994) and information shares of Hasbrouck (1995) based on estimated coefficients of a VECM. To analyze the short-run dynamics, we perform Granger-causality tests. We identify the futures market to be the leader of the long-run price discovery process, whereas the informational role of the futures market increases over time. In addition, we employ a version of the UECCC-GARCH model as introduced by Conrad and Karanasos (2010) to analyze the volatility transmission structure. The volatility analysis indicates a close relationship between the volatility dynamics of both markets, whereas in particular we observe spillovers from the futures to the spot market. As a whole the investigation reveals that the futures market incorporates information first and then transfers the information to the spot market.