欧洲二氧化碳期货市场的流动性和价格发现:日内分析

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-01-01 DOI:10.2139/ssrn.1220389

E. Benz, J. Hengelbrock

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引用次数: 1

摘要

欧盟二氧化碳配额(eua)在多个市场上交易，交易强度越来越大。我们提供了一个完整的2005-2007年首个交易期的EUA期货市场的日内数据分析。为了调查这个年轻市场的交易过程，我们比较了两个主要交易平台ECX和Nord Pool在流动性和价格发现方面的差异。两者都与交易员高度相关。我们根据Madhavan等人(1997)的方法，通过估计交易的买卖价差来分析流动性，并使用Engle和Granger(1987)的VECM框架研究价格发现。我们发现，虽然大型交易所ECX的估计交易成本总是较低，但流动性较差的平台Nord Pool也有助于价格发现，特别是在交易的头几个月。总体而言，结果表明，从2005年到2007年，欧洲二氧化碳期货市场的流动性显著增加，有组织的交易迅速扩大。

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Liquidity and Price Discovery in the European C02 Futures Market: An Intraday Analysis

European Union CO2 allowances (EUAs) are traded on several markets with increasing intensity. We provide an intraday data analysis of the EUA futures market for the complete first trading period 2005-2007. To investigate the trading process in this young market, we compare the two main trading platforms ECX and Nord Pool with respect to liquidity and price discovery. Both are of high relevance to traders. We analyze liquidity by estimating traded bid-ask spreads following the approach of Madhavan et al. (1997) and study price discovery using the VECM framework of Engle and Granger (1987). We find that while estimated transaction costs are always lower on the larger exchange ECX, the less liquid platform Nord Pool also contributes to price discovery, especially during the first months of trading. Overall, results indicate that from 2005 to 2007 liquidity in the European CO2 futures market has markedly increased and organized trading has rapidly expanded.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.