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Article Dans Une Revue Finance Research Letters Année : 2015

How integrated is the European carbon derivatives market?

Résumé

We assess the integration dynamics on the European carbon futures market at both the intraday and daily levels. We focus on EUA futures contracts that can be traded on three trading platforms: the Intercontinental-European Climate Exchange (ICE-ECX), the NASDAQ OMX and the European Energy Exchange (EEX). We analyze trading activity for three contract maturities and find that the ECX and EEX platforms exhibit a reasonable level of integration. The price discovery process does not occur at the daily level but rather at the hourly frequency. We conclude that this market still needs to be closely monitored by the regulatory authorities.
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Dates et versions

hal-01526028 , version 1 (22-05-2017)

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Paolo Mazza, Mikael Petitjean. How integrated is the European carbon derivatives market?. Finance Research Letters, 2015, 15, pp.18--30. ⟨10.1016/j.frl.2015.07.005⟩. ⟨hal-01526028⟩
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