@techreport{Mizrach2011market,
abstract = {This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. Trading volumes are active, with EUA volume doubling in 2009. Spreads range from \mbox{\texteuro}{} 0.02 to \mbox{\texteuro}{} 0.06 for EUA futures and from \mbox{\texteuro}{} 0.07 to \mbox{\texteuro}{} 0.18 for CER. Market impact estimates imply that an average trade will move the EUA market by \mbox{\texteuro}{} 0.0108 and the CER market \mbox{\texteuro}{} 0.0429. Both Granger-Gonzalo and Hasbrouck information shares imply that approximately 90% of price discovery is taking place in the ECX futures market. We find imbalances in the order book help predict returns for up to three days. A simple trading strategy that enters the market long or short when the order imbalance is strong is profitable even after accounting for spreads and market impact.},
address = {New Brunswick, NJ},
author = {Bruce Mizrach and Yoichi Otsubo},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
doi = {10.2139/ssrn.1621340},
keywords = {G13; G32; E44; 330; carbon trading; market microstructure; bid-ask spread; market impact; information shares; order book imbalance},
language = {eng},
number = {2010,05},
publisher = {Dep. of Economics, Rutgers, the State Univ. of New Jersey},
title = {The market microstructure of the European Climate Exchange},
type = {Working Papers, Department of Economics, Rutgers, the State University of New Jersey},
url = {http://hdl.handle.net/10419/59470},
year = {2011}
}
