Trading patterns in the European carbon market: The role of trading intensity and OTC transactions

Kalaitzoglou, Iordanis; Ibrahim, Boulis Maher

doi:10.1016/j.qref.2013.04.001

Cited by 13 publications

(13 citation statements)

References 20 publications

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“…These findings confirm the existence of the trading episodes identified by Kalaitzoglou and Ibrahim (2013a). Easley and O'Hara (1992) and Engle (2000) argue that higher trading activity is associated with the presence of price unresolved information and thus, is linked to higher volatility.…”

Section: Continuous Vs Discrete Modellingsupporting

confidence: 80%

“…The data employed in this study refers to the EUA futures contracts with December 2008 maturity traded on the two largest exchanges of the EU ETS: the European Climate Exchange (ECX) and Nord Pool (NP) (see Kalaitzoglou and Ibrahim, 2013a all observations with durations longer than the official trading hours or longer than the mean plus five standard deviations, or that can be graphically considered as outliers; and all observations with volume larger than 500 contracts (to account for recording discreteness). 14 Finally, durations are diurnally adjusted as in Engle (2000) to account for intraday seasonality.…”

Section: Data Samplementioning

confidence: 99%

“…Therefore, the explanatory power of more complex distributions, which are more sensitive to trading intensity persistence, is dependent on relative market conditions. Previous literature associates these liquidity episodes with increased price change volatility (e.g., Kalaitzoglou and Ibrahim, 2013a). Trades characterised by higher relative liquidity have been implicitly reported to be associated with a higher presence of price unresolved information.…”

Section: Continuous Vs Discrete Modellingmentioning

confidence: 99%

“…The second contribution of this paper refers to the explicit distinction between 'absolute' and 'relative' liquidity and their differential impact on volatility and uncertainty resolution. We investigate the intraday volatility impact of high trading intensity episodes in Phase I (2005)(2006)(2007) and the first year of Phase II (2008-2012) of the European Carbon market, identified in Kalaitzoglou and Ibrahim (2013a). This market consists of distinct organised exchanges and trading phases with notably different, but increasing, levels of overall liquidity for the same commonly traded contracts.…”

Section: Introductionmentioning

confidence: 99%

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Liquidity and resolution of uncertainty in the European carbon futures market

Kalaitzoglou

Ibrahim

2015

International Review of Financial Analysis

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International audienceWe investigate whether liquidity introduces or helps resolve uncertainty in Phase I and the first year of Phase II of the European carbon futures market. We propose a distinction between ‘absolute’ or overall liquidity and that which is ‘relative’ to a benchmark. For this purpose, we suggest volume-weighted duration as a natural measure of trading intensity as a proxy for liquidity, and we model it as a rescaled temporal point process. The new model is called Autoregressive Conditional Weighted Duration (ACWD) and is shown to outperform its discrete modelling counterparts. Liquidity is found to play a dual role, with higher relative liquidity introducing uncertainty and higher absolute liquidity accelerating uncertainty resolution, thus, enhancing market efficiency

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Section: Continuous Vs Discrete Modellingsupporting

confidence: 80%

Section: Data Samplementioning

confidence: 99%

Section: Continuous Vs Discrete Modellingmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Liquidity and resolution of uncertainty in the European carbon futures market

Kalaitzoglou

Ibrahim

2015

International Review of Financial Analysis

Self Cite

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“…As for practice, America was the first country putting it into practice for managing air pollution with the SO 2 allowance-trading program to address the threat of acid rain in the Clean Air Act Amendments of 1990 [35]. Besides, carbon emission has set up systematic framework [36] and three well-run mechanisms, namely IET, CDM and JI. Up until now, it has been with a large market volume and fruitful results, especially for the European market and EU-ETS [37,38].…”

Section: Literature Reviewmentioning

confidence: 99%

Pricing Industrial Discharge Quota (IDQ): A Model Reflecting Opportunity Cost of Performing Ecological Responsibility

Xieer

Chen

et al. 2018

Sustainability

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Abstract:The upper reaches of a river system are often trapped in the dilemma of choosing between industrial development and headwater protection. One of the solutions is eco-compensation, which, however, is a public-fiscal arrangement lacking inspiration and sustainability. Instead, industrial discharge quota (IDQ) was put forward as a marketized approach: the maximum industrial discharge a river can afford is allocated as quotas and quotas are allowed to be traded. However, what pricing principle in the primary market can IDQ price refer to? How can enough incentives be given to local governments when they are reluctant to implement emission reduction policy? Given that some previous studies have proven the influence of fiscal income and reputation on governments' incentives, this paper introduces these into our model as main factors. Through analysis, two models-government model and enterprise model-are formulated based on opportunity cost theory to deal with this problem. The first sets basic prices and the latter notifies enterprises' behaviors. Then, this paper applies our first model to a sample region, Fogang County in Pearl River Basin. The results demonstrate that the upstream can obtain adequate compensation for their opportunity loss and local governments can be with strong motivation by our method.

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From Calendar to Economic Time. Deciphering the Arrival of Events in Irregularly Spaced Time

Kalaitzoglou

2021

Financial Risk Management and Modeling

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Trading patterns in the European carbon market: The role of trading intensity and OTC transactions

Cited by 13 publications

References 20 publications

Liquidity and resolution of uncertainty in the European carbon futures market

Liquidity and resolution of uncertainty in the European carbon futures market

Pricing Industrial Discharge Quota (IDQ): A Model Reflecting Opportunity Cost of Performing Ecological Responsibility

From Calendar to Economic Time. Deciphering the Arrival of Events in Irregularly Spaced Time

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