Price discovery and information linkages in the emission allowance and energy markets
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]
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|01Front_Swieringa.pdf||Front Matter||344.13 kB||Adobe PDF|
|02Whole_Swieringa.pdf||Whole Thesis||1.47 MB||Adobe PDF|
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