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Information linkages between emission allowance and energy markets

Schultz, Emma; Swieringa, John

Description

We employ a rational expectations framework similar to that proposed by Fleming et al. (1998) to examine the source, and nature of, information linkages between the emission allowance and energy markets as gauged by the correlation of return volatilities. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil...[Show more]

CollectionsANU Research Publications
Date published: 2016-09-01
Type: Journal article
URI: http://hdl.handle.net/1885/196638
Source: Accounting and Finance
DOI: 10.1111/acfi.12227

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