Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27700
Authors: 
Rotfuß, Waldemar
Year of Publication: 
2009
Series/Report no.: 
ZEW Discussion Papers 09-018
Abstract: 
This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on price sets that are coarser than those offered by the exchanges. Second, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market (ICE Futures). The typical U-shaped pattern of intraday volatility, that is often observed in organized financial markets, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates of daily EUA volatility seem to have a long-memory property.
Subjects: 
EUA
EU ETS
Intraday Price Formation
Realized Volatility
JEL: 
D43
G13
Q59
Document Type: 
Working Paper

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