Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55156
Authors: 
Vinokur, Leon
Year of Publication: 
2009
Series/Report no.: 
Working Paper // School of Economics and Finance, Queen Mary, University of London 652
Abstract: 
This paper investigates the impact of banking and submission constraints, set by the EU Emission Trading Scheme, on the efficiency of the carbon permits spot market using intra-daily data. My aim is to identify whether there is a Disposition effect in the spot market. I will examine a data set that includes spot prices for the First and Second Phases of the Scheme from 24 June 2005 to 07 August 2009. I find that the Disposition effect is significantly high at the beginning of each Phase and decreases close to the first compliance event. In the light of these results I propose a lifting of the ban on banking between Phases and an increased emissions information disclosure in order to increase the efficiency of the Scheme.
Subjects: 
carbon market
psychological biases
institutional constraints
JEL: 
G11
G18
D84
Q48
Document Type: 
Working Paper

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