6533b7d7fe1ef96bd1267bd3

RESEARCH PRODUCT

Speculative and hedging activities in the European Carbon Market

Maria Mansanet-batallerJulio J. LuciaAngel Pardo

subject

General EnergyFinancial economicsCarbon marketEconomicsEuropean Union Emission Trading SchemeSchedule (project management)Management Monitoring Policy and LawTime seriesListing (finance)Open interestSingle phaseSpeculationFutures contract

description

Abstract We explore the dynamics of the speculative and hedging activities in European futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Union Emission Trading Scheme (EU ETS) 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. In addition, a time series 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.

yearjournalcountryeditionlanguage
2015-07-0111th International Conference on the European Energy Market (EEM14)
https://doi.org/10.1109/eem.2014.6861228