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Price discovery and information linkages in the emission allowance and energy markets

Swieringa, John Edward


We provide the first evidence on the catalysts for price discovery in the European Union Emissions Trading System. Short-run return dynamics are analysed using a regression approach similar to Fleming, Ostdiek and Whaley (1996), while the permanent contribution of securities to long-run price equilibrium is examined by calculating Hasbrouck‘s (1995) information shares. By employing high frequency data across a wide range of securities, we find that trading costs are a more important determinant...[Show more]

CollectionsOpen Access Theses
Date published: 2013-08-19
Type: Thesis (PhD)


File Description SizeFormat Image
01Front_Swieringa.pdfFront Matter344.13 kBAdobe PDFThumbnail
02Whole_Swieringa.pdfWhole Thesis1.47 MBAdobe PDFThumbnail

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