Liquidity in the Futures Pits: Inferring Market Dynamics with Incomplete Data

Hasbrouck, Joel

doi:10.2139/ssrn.128888

Cited by 27 publications

(1 citation statement)

References 74 publications

(23 reference statements)

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“…The rank and signed variance ratio test was applied to test the market validity and obtained a weak form of validity for the European carbon emissions trading market over the period 2011-2022 [7]. In the study on market liquidity, incomplete data were applied to the study of dynamic market liquidity in traditional futures trading pools in the US [8]. The new liquidity ratio indicator was constructed for a study of the EUA futures market, which concluded that market liquidity was increasing in the first phase [9].…”

Section: Introductionmentioning

confidence: 99%

Empirical analysis of the effectiveness and liquidity of the European carbon emission rights futures market

Du¹

2023

HBEM

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Global warming from greenhouse gas emissions is a worldwide concern and the European Emissions Trading System (EU ETS) is the largest market in the world and has a model role. Some researchers have argued that the carbon emissions futures market was not weakly effective at the beginning of its establishment, but there is a lack of sufficient research on the effectiveness of the market in recent years. Therefore, this study analyses market effectiveness and liquidity by using positions, trading volumes and settlement prices for carbon futures from 2 January 2014 to 23 November 2022, and calculates log returns from settlement prices to construct an ARIMA model for verifying the market efficiency. The analysis finds that the carbon futures market satisfies weak form validity and that the market's macro liquidity and micro liquidity are gradually increasing, and the ARIMA model finds that there is a large seasonality factor in the market. This is mainly related to the maturity of the market, the improvement of the trading mechanism and the global consensus, providing constructive reference for the improvement of the carbon emission rights futures trading market and trading mechanism in China.

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Section: Introductionmentioning

confidence: 99%