Carbon Futures Liquidity Effects: Evidence from the European Energy Exchange (EEX)

Gbenga Ibikunle

Carbon Futures Liquidity Effects: Evidence from the European Energy Exchange (EEX)

Gbenga Ibikunle

Norwich Business School

Research output: Contribution to conference › Paper › peer-review

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Abstract

The study examines liquidity effects after the onset of trading in phase II of the EU-ETS for EUA futures contracts. Using the orthodox market model and liquidity proxies, evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II is obtained. Results suggest the application of a new regime of trading rules in phase II led to the improvements in liquidity.

Original language	English
Publication status	Published - 26 May 2011
Event	7th Scottish Doctoral Management Conference - University of St Andrews, United Kingdom Duration: 26 May 2011 → 27 May 2011

Conference

Conference	7th Scottish Doctoral Management Conference
Country/Territory	United Kingdom
Period	26/05/11 → 27/05/11

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Conference-St.Andrews.docOther version, 177 KB

Cite this

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title = "Carbon Futures Liquidity Effects: Evidence from the European Energy Exchange (EEX)",

abstract = "The study examines liquidity effects after the onset of trading in phase II of the EU-ETS for EUA futures contracts. Using the orthodox market model and liquidity proxies, evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II is obtained. Results suggest the application of a new regime of trading rules in phase II led to the improvements in liquidity.",

author = "Gbenga Ibikunle",

note = "Awarded Best Paper in Socially Responsible Investments/Finance Track; 7th Scottish Doctoral Management Conference ; Conference date: 26-05-2011 Through 27-05-2011",

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N2 - The study examines liquidity effects after the onset of trading in phase II of the EU-ETS for EUA futures contracts. Using the orthodox market model and liquidity proxies, evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II is obtained. Results suggest the application of a new regime of trading rules in phase II led to the improvements in liquidity.

AB - The study examines liquidity effects after the onset of trading in phase II of the EU-ETS for EUA futures contracts. Using the orthodox market model and liquidity proxies, evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II is obtained. Results suggest the application of a new regime of trading rules in phase II led to the improvements in liquidity.

M3 - Paper

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Y2 - 26 May 2011 through 27 May 2011

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