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EMISSION ALLOWANCES (2) answer(s).
 
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ID:   088258


Are electricity risk premia affected by emission allowance pric / Daskalakis, George; Markellos, Raphael N.   Journal Article
Daskalakis, George Journal Article
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Publication 2009.
Summary/Abstract The links between emission and energy markets are of great interest to practitioners, academics and policy makers. In this paper, it is conjectured that a positive relationship exists between emission allowance spot returns and electricity risk premia within the European Union Emissions Trading Scheme (EU ETS). We discuss how this can be justified on the basis of the substantial uncertainties in the carbon markets. We also argue that this link could be due to trading strategies followed by electricity producers who attempt to exploit their initial allocation of free allowances. Analysis of data from three major markets, the EEX, Nord Pool and Powernext, offers empirical support to our conjecture. These findings have significant policy implications since they imply that efforts should be made in order to reduce the uncertainty in the carbon markets by clearly defining the EU ETS regulative framework and design over the next years. Moreover, our results suggest that the allocation of free allowances and their unrestricted trading enable electricity producers to accomplish windfall profits in the derivatives market at the expense of other market participants.
Key Words Electricity  ;  Risk Premium  ;  Emission Allowances 
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2
ID:   118852


On the efficiency of the European carbon market: new evidence from phase II / Daskalakis, George   Journal Article
Daskalakis, George Journal Article
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Publication 2013.
Summary/Abstract I examine in the period 2008-2011 the efficiency of four carbon dioxide (CO2) emission allowance futures traded in the Intercontinental Exchange (ICE). To this end, I assess the profitability of trading strategies based on simple technical analysis rules and naïve forecasts. The results from 2010 onwards are consistent with weak market efficiency. In turn, this finding suggests that the European carbon market is gradually attaining a state of maturity.
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