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Working Papers, Department of Economics, Rutgers University >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/59470
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Mizrach, Bruce | | en_US |
| dc.contributor.author | | Otsubo, Yoichi | | en_US |
| dc.date.accessioned | | 2012-06-25T11:57:20Z | | - |
| dc.date.available | | 2012-06-25T11:57:20Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.pi | | doi:10.2139/ssrn.1621340 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/59470 | | - |
| dc.description.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 € 0.02 to € 0.06 for EUA futures and from € 0.07 to € 0.18 for CER. Market impact estimates imply that an average trade will move the EUA market by € 0.0108 and the CER market € 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dep. of Economics, Rutgers, the State Univ. of New Jersey New Brunswick, NJ | | en_US |
| dc.relation.ispartofseries | | Working Papers, Department of Economics, Rutgers, the State University of New Jersey 2010,05 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.jel | | G32 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | carbon trading | | en_US |
| dc.subject.keyword | | market microstructure | | en_US |
| dc.subject.keyword | | bid-ask spread | | en_US |
| dc.subject.keyword | | market impact | | en_US |
| dc.subject.keyword | | information shares | | en_US |
| dc.subject.keyword | | order book imbalance | | en_US |
| dc.title | | The market microstructure of the European Climate Exchange | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 684759195 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Working Papers, Department of Economics, Rutgers University
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