초록 열기/닫기 버튼
A Test on the Integration among the Greenhouse Gas Emission Trading Exchanges: ECX, CCX and Nord Pool Taek-Whan HanSuhkyong KimThere are various greenhouse gas emission trading markets. It is interesting to see whether these markets's price changes and trading volumes move together with each other. It was already shown that EU ETS OTC market prices and Nord Pool's EUA prices move together and EU ETS OTC prices precedes the Nord Pool's EUA prices. These two markets, and ECX also, trade the identical product, the EUA. However, CCX, an exchange for voluntary but legally binding emission allowances for greenhouse gases, is a totally different market from the ECX, or Nord Pool. It is much more interesting to check whether CCX move together with ECX or Nord Pool.This paper performed cointegration tests to see whether three markets of CCX, ECX and Nord Pool, for price changes and trading volumes. It also ran VAR tests the for the theree market's price changes and trading volumes. The result is that ECX and Nord Pool has a strong cointegration and ECX price changes and volumes Granger causes Nord Pool' ones. CCX and ECX have a weak but significant cointegration between them and CCX weakly precedes ECX. CCX and Nord Pool have no integration between them. These findings are intuitively understandable but not obvious results, since it was not clear whether CCX, a totally voluntary and independent from EU's ETS, move together with ECX. It can be inferred that CCX's market participants are sensitive to the overall political, institutional and technical factors and expectations on them, which also determine the EUA's prices and volumes in Europe.
키워드열기/닫기 버튼
Emission Trading, Cointegration, VAR, Integration, Granger Causality, Price, Volume, Greenhouse Gases, CO2, CCX, ECX, Nord Pool
