Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets

Rannou, Yves; Barneto, Pascal

doi:10.1016/j.eneco.2014.10.010

Cited by 38 publications

(30 citation statements)

References 31 publications

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“…The results did not reveal any notable relationships. Barneto (2016), who show that trading volume Granger causes volatility in the EU-ETS markets. We also observe that returns are skewed and that they have a pronounced excess kurtosis in most cases, which conforms to common characteristics of financial market series.…”

Section: China's Carbon Emissionsmentioning

confidence: 99%

Dynamics of China’s carbon prices in the pilot trading phase

2017

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This paper is the first to investigate empirically the link between carbon prices and macro risks in China's cap-and-trade pilot scheme. Using data from four pilot markets in Beijing, Guangdong, Hubei, and Shenzhen from 2014 to 2016, we demonstrate that the carbon price in Hubei is weakly linked to international prices of natural gas. Our results also indicate that energy, utilities, industrial and materials sector indices are positively related to the allowance prices in Shenzhen and Guangdong, suggesting that higher emitters in the region may have factored the carbon price into their production mix. We find no statistically significant relationship in the Beijing pilot. Overall, the findings suggest that China's carbon market is currently in an early stage of development, as the carbon price fundamentals are weak and the markets are comparatively less efficient than the European trading scheme in an informational sense. The findings of the paper have policy implications for the upcoming integration of regional markets into the national carbon market.

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Section: China's Carbon Emissionsmentioning

confidence: 99%

Dynamics of China’s carbon prices in the pilot trading phase

2017

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“…The relevance of the stock market for the energy sector has been analyzed in Miralles-Marcelo et al (2012), Santillán-Salgado et al (2017. Braun andHazelroth (2015), D'Ecclesia (2016), Matar and Bekhet (2015), Ching-Chun and Ya-Ling (2016), Tumen et al (2016), Huang et al (2017), Rannou and Barneto (2016), Shalini andPrasanna (2016), Salas-Fumas et al (2016), Most of these studies find that the stock market drives the energy sector. Manera et al (2013) find that the S&P500 index significantly affects returns across commodity prices, and there are correlations between energy products and agricultural products with a rebound around 2008.…”

Section: A Short Review On the Stock Markets-energy Sector Nexusmentioning

confidence: 99%

“…Braun and Hazelroth (2015) examine the transition to a cleaner, more environmentally friendly, and smarter energy linked to a financial system that promotes capital intensity and technological innovation in the energy sector. Also, Rannou and Barneto (2016) studied the efficiency of the European carbon market by using an asymmetric GJR-GARCH model. These authors found a unidirectional Granger's (1969) causality from trading volume toward volatility.…”

Section: Introductionmentioning

confidence: 99%

Untitled

Aali-Bujari

Venegas-Martı́nez²,

Santillán‐Salgado³

2018

IJEEP

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“…Based on a series of Grangercausality tests using conditional and absolute volatility measures, she reports that trading volume seems to drive volatility, which supports the SIF hypothesis. In a recent study, Rannou and Barneto (2016) investigate the volume-volatility relation in the European emission market by distinguishing trading activities in the OTC market and on screen trading platform. They report that one way causality from OTC to futures volume is driven by heterogeneous investor beliefs since trading volume provides an indication on how (private) information is dispersed and held at different levels rather than proxying information signal itself.…”

Section: Literature Reviewmentioning

confidence: 99%

Market conditions, trader types and price–volume relation in energy futures markets

Alizadeh

Tamvakis

2016

Energy Economics

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We investigate the asymmetric relations between trading volume and price changes, and trading volume and price volatility of energy futures contracts across maturities and under different market conditions. Using a relatively long sample of daily observations, we examine whether the impact of trading volume on returns and volatility of futures contracts can be time-varying and dependent on the market condition. We differentiate the market condition based on the slope of the forward curve into backwardation and contango. The results indicate that trading volume and returns are positively related when the market is in backwardation and negatively related when the market is in contango. In addition, the positive relation between changes in trading volume and volatility of futures contracts seem to be stronger when the market is in backwardation than when it is in contango. Finally, the results indicate that, to a certain extent, trade participation and trading activities of agents in energy futures markets can be explained by the slope of the forward curve which reflects the market condition and sentiment.

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Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets

Cited by 38 publications

References 31 publications

Dynamics of China’s carbon prices in the pilot trading phase

Dynamics of China’s carbon prices in the pilot trading phase

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Market conditions, trader types and price–volume relation in energy futures markets

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