Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59470
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dc.contributor.authorMizrach, Bruceen_US
dc.contributor.authorOtsubo, Yoichien_US
dc.date.accessioned2012-06-25T11:57:20Z-
dc.date.available2012-06-25T11:57:20Z-
dc.date.issued2011en_US
dc.identifier.pidoi:10.2139/ssrn.1621340en_US
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_US
dc.language.isoengen_US
dc.publisher|aDep. of Economics, Rutgers, the State Univ. of New Jersey |cNew Brunswick, NJen_US
dc.relation.ispartofseries|aWorking Papers, Department of Economics, Rutgers, the State University of New Jersey |x2010,05en_US
dc.subject.jelG13en_US
dc.subject.jelG32en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordcarbon tradingen_US
dc.subject.keywordmarket microstructureen_US
dc.subject.keywordbid-ask spreaden_US
dc.subject.keywordmarket impacten_US
dc.subject.keywordinformation sharesen_US
dc.subject.keywordorder book imbalanceen_US
dc.titleThe market microstructure of the European Climate Exchangeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684759195en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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