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dc.contributor.authorMizrach, Bruceen
dc.contributor.authorOtsubo, Yoichien
dc.date.accessioned2012-06-25T11:57:20Z-
dc.date.available2012-06-25T11:57:20Z-
dc.date.issued2011-
dc.identifier.pidoi:10.2139/ssrn.1621340en
dc.identifier.urihttp://hdl.handle.net/10419/59470-
dc.description.abstractThis 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
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2010-05en
dc.subject.jelG13en
dc.subject.jelG32en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keywordcarbon tradingen
dc.subject.keywordmarket microstructureen
dc.subject.keywordbid-ask spreaden
dc.subject.keywordmarket impacten
dc.subject.keywordinformation sharesen
dc.subject.keywordorder book imbalanceen
dc.titleThe market microstructure of the European Climate Exchange-
dc.typeWorking Paperen
dc.identifier.ppn684759195en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:201005en

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