Title :
Speculative and hedging activities in the European Carbon Market
Author :
Lucia, Julio J. ; Mansanet-Bataller, Maria ; Pardo, Abelardo
Author_Institution :
Dept. of Financial Econ., Univ. of Valencia, Valencia, Spain
Abstract :
We explore the dynamics of the speculative and hedging activities in futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Carbon Market reveals that (i) Phase II of the EU ETS seems to be the most speculative phase to date and (ii) the highest degree of speculative activity for every single phase occurs at the moment of listing the contracts for the first time. A seasonality analysis identifies a higher level of speculation in the first quarter of each year, related to the schedule of deadlines of the EU ETS. Further analysis confirms that most of the speculative activity each year occurs in the front contract, whereas the hedging demand concentrates in the second-to-deliver futures contract.
Keywords :
air pollution; environmental economics; power markets; EU ETS; European carbon market; hedging activities; hedging demand; speculative activities; speculative activity; speculative phase; Carbon; Carbon dioxide; Contracts; Economics; Europe; Phase measurement; Single photon emission computed tomography; ECX; EUA; G13; derivatives; open interest; trading volume. JEL Classification;
Conference_Titel :
European Energy Market (EEM), 2014 11th International Conference on the
Conference_Location :
Krakow
DOI :
10.1109/EEM.2014.6861228