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Catalysts for price discovery in the European Union Emissions Trading System

Schultz, Emma; Swieringa, John

Description

We provide the first evidence on catalysts for price discovery in the European Union Emissions Trading System. Specifically, by employing high frequency data across a wide range of fungible securities, we find that trading costs are a more important determinant of price discovery than either the implicit provision of leverage in securities such as futures and options or the existence of market segmentation. Moreover, securities with low trading costs display greater price discovery than those...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/69141
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2014.01.012

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