Spillover effect between carbon spot and futures market: evidence from EU ETS.
Environ Sci Pollut Res Int
; 28(12): 15223-15235, 2021 Mar.
Article
em En
| MEDLINE
| ID: mdl-33231853
ABSTRACT
The spillover effects of European Union Allowances (EUA) spot and futures markets are important for investors in order to understand the relevance and risk management of product prices. This paper uses non-linear methods of Granger causality to test the mean spillover relationship between the two markets and then analyzes volatility spillovers between the two by the non-linear TVP-VAR spillover index. The results show that (1) the non-linear Granger causality test better reflects the mean spillover relationship between EUA spot and futures; (2) there is a bidirectional non-linear mean spillover effect between EUA spot and futures prices for the European Union Emissions Trading Scheme (EU ETS) phases II and III; and (3) volatility spillovers, appearing in EUA spot and future markets in both phases, work increasingly strong over time and are vulnerable to financial crises and extreme events.
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Base de dados:
MEDLINE
Assunto principal:
Carbono
Idioma:
En
Ano de publicação:
2021
Tipo de documento:
Article