Assessing price clustering in European Carbon Markets

被引：51

作者：

Palao, Fernando ^{[2
]}

Pardo, Angel ^{[1
]}

机构：

[1] Univ Valencia, Dept Financial Econ, Fac Econ, E-46003 Valencia, Spain

[2] Ingn Software Bancario ISBAN, Dept Market Struct Serv, Santander Grp, Pozuelo De Alarcon, Spain

来源：

APPLIED ENERGY | 2012年 / 92卷

关键词：

Clustering; Price; EUA; ECX; FUTURES;

D O I：

10.1016/j.apenergy.2011.10.022

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

The presence of price clustering in markets is taken as a sign of market inefficiency that can influence trading strategies. In this paper, we study the presence of a concentration in prices in carbon futures markets. Specifically, we analyze the European Carbon Futures Markets and test for evidence of preference for certain prices above others. Our results reveal the strong presence of price clustering in the carbon market at prices ending in digits 0 and 5. These findings support the attraction hypothesis, which endorses a significant clustering on gravitational prices, but also backs the negotiation hypothesis, which advocates greater clustering when trading costs are higher. (C) 2011 Elsevier Ltd. All rights reserved.

引用

页码：51 / 56

页数：6

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