Role of ECX futures in carbon pricing: Intraday evidence from EU-ETS

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-06-01 DOI:10.1016/j.econlet.2025.112401

Charu Vadhava

引用次数: 0

Abstract

This study investigates the price discovery and volatility spillover between ECX spot and futures prices using high-frequency data for the fourth phase of EU-ETS. The analysis reveals the higher contribution of ECX futures in price formation. Furthermore, volatility spillover analysis shows that volatility transmission occurs predominantly from ECX futures to the spot market, making the ECX futures market a shock (information) transmitter and the spot market a shock (information) receiver in net terms. The informativeness of ECX futures in carbon pricing can be attributed to higher liquidity, higher trading volume, and the presence of informed institutional traders in the ECX futures market.

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ECX期货在碳定价中的作用：来自EU-ETS的即日证据

本研究利用EU-ETS第四阶段的高频数据研究了ECX现货和期货价格之间的价格发现和波动溢出。分析表明，ECX期货对价格形成的贡献较大。此外，波动性溢出分析表明，波动性主要从ECX期货传导到现货市场，使ECX期货市场成为冲击（信息）的传递者，现货市场成为冲击（信息）的接收者。ECX期货在碳定价方面的信息性可归因于更高的流动性、更高的交易量以及ECX期货市场中知情机构交易员的存在。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.