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Table of Contents
Intro; Acknowledgements; Contents; List of Abbreviations; List of Figures; List of Tables; 1: An Introduction to the Book; References; 2: Emissions Trading in Europe: Background and Policy; 2.1 Introduction; 2.2 Trading Emissions Under Cap and Trade; 2.3 Structure of the EU-ETS; 2.3.1 Emissions Permits Creation and Use; 2.4 Critical Phase-Dependent Issues Arising from EU-ETS Design and Regulations; 2.4.1 The Problem with Ban on Intertemporal Trading; 2.4.2 The Problem with Initial Allocation in Phase I; 2.4.3 Carbon Price in the EU-ETS.
2.4.4 Impact of the Global Financial Crisis on the EU-ETS2.4.5 Regulatory Risk Issues in the EU-ETS; 2.5 Chapter Summary; References; 3: Price Discovery and Trading After Hours on the ECX; 3.1 Introduction; 3.2 The Trading Environment on the ECX; 3.3 Data; 3.3.1 Sample Selection; 3.3.2 Sample Description; 3.4 Results and Discussion; 3.4.1 Trading Volume and Volatility; 3.4.2 Motivation for Trading During the AMC: Liquidity or Information?; 3.4.3 Adverse Selection Costs and Spread Analyses; 3.4.3.1 Madhavan et al.'s (1997) Spread Decomposition Model.
3.4.3.2 Estimating Madhavan et al.'s (1997) Spread Decomposition Model3.4.3.3 Huang and Stoll's (1997) Three-Way Spread Decomposition Model Based on Portfolio Trading Pressure; 3.4.3.4 A Simple Model; 3.4.3.5 Extension of Model Based on Portfolio Trading Pressure; 3.4.4 Price Discovery and Information Absorption on the ECX; 3.4.4.1 Weighted Price Contribution; 3.4.4.2 Weighted Price Contribution per Trade; 3.4.5 Efficiency of the Price Discovery Process: Period by Period Analysis; 3.5 Chapter Summary; References; 4: The Price Impact of Block Emissions Permit Trades; 4.1 Introduction.
4.2 Background to Study4.2.1 Institutional Set-up; 4.3 Data and Methodological Approach; 4.3.1 Data; 4.3.2 Methodology; 4.4 Results and Discussion; 4.4.1 Descriptive Statistics; 4.4.2 Regression Results and Discussion; 4.4.2.1 Price Impact and Trade Sign; 4.4.2.2 Intraday Variations in Price Impact; 4.4.2.3 Day of the Week Effects; 4.4.2.4 Trade Size Dependencies on Price Impact; 4.5 Chapter Summary; References; 5: The Liquidity Effects of Trading Carbon Financial Instruments; 5.1 Introduction; 5.2 The Trading Environment on the EEX; 5.3 Data; 5.3.1 Sample Selection.
5.3.2 Sample Description5.4 Results and Discussion; 5.4.1 Abnormal Return of Events: Dec-2008 and Dec-2009 Contracts; 5.4.2 Impact of Events on Trading Volumes: Dec-2008 and Dec-2009 Contracts; 5.4.2.1 Short-Term Impact of Events; 5.4.2.2 Long-Term Impact of Events; 5.4.3 Financial Markets Liquidity; 5.4.4 Measures of Liquidity; 5.4.4.1 Volume-Based Measures; 5.4.4.2 Price Movement and Market Resilience Measures; 5.4.4.3 Transaction Cost Measures; 5.4.5 Liquidity Improvements: EEX EUA Dec-2008 and Dec-2009 Contracts; 5.5 Chapter Summary; References; 6: Liquidity and Market Efficiency in Carbon Markets.
2.4.4 Impact of the Global Financial Crisis on the EU-ETS2.4.5 Regulatory Risk Issues in the EU-ETS; 2.5 Chapter Summary; References; 3: Price Discovery and Trading After Hours on the ECX; 3.1 Introduction; 3.2 The Trading Environment on the ECX; 3.3 Data; 3.3.1 Sample Selection; 3.3.2 Sample Description; 3.4 Results and Discussion; 3.4.1 Trading Volume and Volatility; 3.4.2 Motivation for Trading During the AMC: Liquidity or Information?; 3.4.3 Adverse Selection Costs and Spread Analyses; 3.4.3.1 Madhavan et al.'s (1997) Spread Decomposition Model.
3.4.3.2 Estimating Madhavan et al.'s (1997) Spread Decomposition Model3.4.3.3 Huang and Stoll's (1997) Three-Way Spread Decomposition Model Based on Portfolio Trading Pressure; 3.4.3.4 A Simple Model; 3.4.3.5 Extension of Model Based on Portfolio Trading Pressure; 3.4.4 Price Discovery and Information Absorption on the ECX; 3.4.4.1 Weighted Price Contribution; 3.4.4.2 Weighted Price Contribution per Trade; 3.4.5 Efficiency of the Price Discovery Process: Period by Period Analysis; 3.5 Chapter Summary; References; 4: The Price Impact of Block Emissions Permit Trades; 4.1 Introduction.
4.2 Background to Study4.2.1 Institutional Set-up; 4.3 Data and Methodological Approach; 4.3.1 Data; 4.3.2 Methodology; 4.4 Results and Discussion; 4.4.1 Descriptive Statistics; 4.4.2 Regression Results and Discussion; 4.4.2.1 Price Impact and Trade Sign; 4.4.2.2 Intraday Variations in Price Impact; 4.4.2.3 Day of the Week Effects; 4.4.2.4 Trade Size Dependencies on Price Impact; 4.5 Chapter Summary; References; 5: The Liquidity Effects of Trading Carbon Financial Instruments; 5.1 Introduction; 5.2 The Trading Environment on the EEX; 5.3 Data; 5.3.1 Sample Selection.
5.3.2 Sample Description5.4 Results and Discussion; 5.4.1 Abnormal Return of Events: Dec-2008 and Dec-2009 Contracts; 5.4.2 Impact of Events on Trading Volumes: Dec-2008 and Dec-2009 Contracts; 5.4.2.1 Short-Term Impact of Events; 5.4.2.2 Long-Term Impact of Events; 5.4.3 Financial Markets Liquidity; 5.4.4 Measures of Liquidity; 5.4.4.1 Volume-Based Measures; 5.4.4.2 Price Movement and Market Resilience Measures; 5.4.4.3 Transaction Cost Measures; 5.4.5 Liquidity Improvements: EEX EUA Dec-2008 and Dec-2009 Contracts; 5.5 Chapter Summary; References; 6: Liquidity and Market Efficiency in Carbon Markets.