On the efficiency of the European carbon market: New evidence from Phase II

George Daskalakis

doi:10.1016/j.enpol.2012.11.055

On the efficiency of the European carbon market: New evidence from Phase II

George Daskalakis

Research output: Contribution to journal › Article › peer-review

66 Citations (Scopus)

Abstract

I examine in the period 2008-2011 the efficiency of four carbon dioxide (CO2) emission allowance futures traded in the Intercontinental Exchange (ICE). To this end, I assess the profitability of trading strategies based on simple technical analysis rules and naïve forecasts. The results from 2010 onwards are consistent with weak market efficiency. In turn, this finding suggests that the European carbon market is gradually attaining a state of maturity.

Original language	English
Pages (from-to)	369-375
Journal	Energy Policy
Volume	54
DOIs	https://doi.org/10.1016/j.enpol.2012.11.055
Publication status	Published - 2013

Keywords

Emission allowances
EU Emissions Trading Scheme
Market efficiency
Carbon markets
Phase II
Technical analysis
Trading strategies

Access to Document

10.1016/j.enpol.2012.11.055

Cite this

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title = "On the efficiency of the European carbon market: New evidence from Phase II",

abstract = "I examine in the period 2008-2011 the efficiency of four carbon dioxide (CO2) emission allowance futures traded in the Intercontinental Exchange (ICE). To this end, I assess the profitability of trading strategies based on simple technical analysis rules and na{\"i}ve forecasts. The results from 2010 onwards are consistent with weak market efficiency. In turn, this finding suggests that the European carbon market is gradually attaining a state of maturity.",

keywords = "Emission allowances, EU Emissions Trading Scheme, Market efficiency, Carbon markets, Phase II, Technical analysis, Trading strategies",

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AB - I examine in the period 2008-2011 the efficiency of four carbon dioxide (CO2) emission allowance futures traded in the Intercontinental Exchange (ICE). To this end, I assess the profitability of trading strategies based on simple technical analysis rules and naïve forecasts. The results from 2010 onwards are consistent with weak market efficiency. In turn, this finding suggests that the European carbon market is gradually attaining a state of maturity.

KW - Emission allowances

KW - EU Emissions Trading Scheme

KW - Market efficiency

KW - Carbon markets

KW - Phase II

KW - Technical analysis

KW - Trading strategies

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DO - 10.1016/j.enpol.2012.11.055

M3 - Article

VL - 54

SP - 369

EP - 375

JO - Energy Policy

JF - Energy Policy

SN - 0301-4215

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