Search results for "carbon futures"
showing 2 items of 2 documents
Carbon and safe-haven flows
2022
<abstract> <p>This paper explores the role of European Union Allowances (EUAs) as a safe haven for a range of assets and analyses the effect of safe-haven flows on the European carbon futures market. In particular, we demonstrate that EUAs can be considered a refuge against fluctuations in corporate bonds, gold and volatility-related assets in periods of market turmoil. Furthermore, we have shown that extremely bearish and bullish movements in those assets for which the EUA acts as a safe haven induce excess volatility in carbon markets, higher carbon trading volume and larger than normal EUA bid-ask spreads. These findings support the idea that some traders, by considering carb…
The inconvenience yield of carbon futures
2021
Abstract Since 2009, the European Carbon Futures Market has been in a permanent contango situation that is characterised by systematic negative convenience yields that allow investors to exploit profitable arbitrage opportunities. The objective of this paper is to analyse the possible drivers of these negative convenience yields. Our empirical results indicate that although some carbon trading variables are behind this contango situation, the carbon inconvenience yield is better explained if other financial markets and variables are considered, suggesting a financialization of the European Carbon Futures Market.