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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Mizrach, Bruce | en |
dc.contributor.author | Otsubo, Yoichi | en |
dc.date.accessioned | 2012-06-25T11:57:20Z | - |
dc.date.available | 2012-06-25T11:57:20Z | - |
dc.date.issued | 2011 | - |
dc.identifier.pi | doi:10.2139/ssrn.1621340 | en |
dc.identifier.uri | http://hdl.handle.net/10419/59470 | - |
dc.description.abstract | This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. Trading volumes are active, with EUA volume doubling in 2009. Spreads range from € 0.02 to € 0.06 for EUA futures and from € 0.07 to € 0.18 for CER. Market impact estimates imply that an average trade will move the EUA market by € 0.0108 and the CER market € 0.0429. Both Granger-Gonzalo and Hasbrouck information shares imply that approximately 90% of price discovery is taking place in the ECX futures market. We find imbalances in the order book help predict returns for up to three days. A simple trading strategy that enters the market long or short when the order imbalance is strong is profitable even after accounting for spreads and market impact. | en |
dc.language.iso | eng | en |
dc.publisher | |aRutgers University, Department of Economics |cNew Brunswick, NJ | en |
dc.relation.ispartofseries | |aWorking Paper |x2010-05 | en |
dc.subject.jel | G13 | en |
dc.subject.jel | G32 | en |
dc.subject.jel | E44 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | carbon trading | en |
dc.subject.keyword | market microstructure | en |
dc.subject.keyword | bid-ask spread | en |
dc.subject.keyword | market impact | en |
dc.subject.keyword | information shares | en |
dc.subject.keyword | order book imbalance | en |
dc.title | The market microstructure of the European Climate Exchange | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 684759195 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:rut:rutres:201005 | en |
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