European Union Emissions Trading Scheme (EU-ETS) Futures Liquidity Effects: Evidence from the European Energy Exchange (EEX)

Gbenga Ibikunle; Andros Gregoriou

European Union Emissions Trading Scheme (EU-ETS) Futures Liquidity Effects: Evidence from the European Energy Exchange (EEX)

Gbenga Ibikunle, Andros Gregoriou

Norwich Business School

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

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Abstract

We examine liquidity effects after the onset of trading in phase II of the EU-ETS for European Union Allowance (EUA) futures contracts. We obtain evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II. Our results suggest the application of a new regime of trading rules in Phase II led to the improvements in liquidity.

Original language	English
Pages	245-252
Number of pages	8
Publication status	Published - 1 Jul 2011
Event	8th International Conference on Advances in Applied Financial Economics - Samos Island, Greece Duration: 30 Jun 2011 → 2 Jul 2011

Conference

Conference	8th International Conference on Advances in Applied Financial Economics
Country/Territory	Greece
City	Samos Island
Period	30/06/11 → 2/07/11

Access to Document

Samos.docAccepted author manuscript, 177 KB

Cite this

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title = "European Union Emissions Trading Scheme (EU-ETS) Futures Liquidity Effects: Evidence from the European Energy Exchange (EEX)",

abstract = "We examine liquidity effects after the onset of trading in phase II of the EU-ETS for European Union Allowance (EUA) futures contracts. We obtain evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II. Our results suggest the application of a new regime of trading rules in Phase II led to the improvements in liquidity.",

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N2 - We examine liquidity effects after the onset of trading in phase II of the EU-ETS for European Union Allowance (EUA) futures contracts. We obtain evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II. Our results suggest the application of a new regime of trading rules in Phase II led to the improvements in liquidity.

AB - We examine liquidity effects after the onset of trading in phase II of the EU-ETS for European Union Allowance (EUA) futures contracts. We obtain evidence of long-term improvement in liquidity of the EEX EUA December 2008 futures contract after the commencement of trading in phase II. Our results suggest the application of a new regime of trading rules in Phase II led to the improvements in liquidity.

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EP - 252

T2 - 8th International Conference on Advances in Applied Financial Economics

Y2 - 30 June 2011 through 2 July 2011

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