欧洲气候交易所的市场微观结构

Bruce Mizrach, Yoichi Otsubo
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引用次数: 85

摘要

本文分析了欧盟最大的碳排放交易场所——欧洲气候交易所的市场微观结构。ECX在EUA占据了2/3的屏幕交易市场,在CER占据了90%以上的市场。2005年至2009年间,EUA的平均运量增长了277%,而自2007年以来,CER的平均运量增长了724%。EUA的息差为0.0188欧元至0.0406欧元,CER的息差为0.0276欧元至0.0796欧元。在EUA和CER中,逆向选择导致的利差的中位数比例分别达到76%和75%。已实现的波动率、买卖价差和逆向选择成本随着已验证的排放量而下降。市场影响估计表明,平均一笔交易将使欧盟市场波动1.06欧厘特,CER市场波动1.45欧厘特。ECX为EUA交易提供了75%到88%的价格发现,为CER提供了64%到72%的价格发现。我们发现订单簿中的不平衡有助于预测最多三天的回报。一个简单的交易策略是在订单不平衡严重时进入市场做多或做空,即使在考虑点差和市场影响后也是有利可图的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Market Microstructure of the European Climate Exchange
This 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. Volume growth has averaged 277% in EUA between 2005 and 2009 and 724% in CER since 2007. Spreads range from €0.0188 to €0.0406 for EUA and €0.0276 to €0.0796 for CER. The median proportion of the spread due to adverse selection reaches 76% for EUA and 75% for CER. Realized volatility, bid-ask spreads and adverse selection costs decline with verified emission releases. Market impact estimates imply that an average trade will move the EUA market by 1.06 euro centimes and the CER market 1.45. The ECX is providing between 75% and 88% of price discovery for EUA trading and between 64% and 72% for CER. 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.
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