The market microstructure of the European Climate Exchange

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2010-05

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Financial Markets and the Macroeconomy
• Thema: carbon trading ; market microstructure ; bid-ask spread ; market impact ; information shares ; order book imbalance

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Mizrach, Bruce ; Otsubo, Yoichi
• Ereignis: Veröffentlichung
• (wer): Rutgers University, Department of Economics
• (wo): New Brunswick, NJ
• (wann): 2011

Weitere Informationen

• DOI: doi:10.2139/ssrn.1621340
• Handle: http://hdl.handle.net/10419/59470
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ