کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
980408 1480458 2011 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange
چکیده انگلیسی

We provide the first econometric investigation of volatility dynamics for the Carbon Financial Instrument (CFI) traded on the Chicago Climate Exchange (CCX). A CFI is a financial contract with the right to emit 100 metric tons of CO2 equivalent. In this study, we present evidence of infrequent trading in the CCX, consistent with emerging markets that are inhabited by non-competitive agents trading permits. We explore the relationship between the observed thin trading effects and GARCH model testing and estimation, concluding with some implications for volatility-based Value-at-Risk forecasts. Our results are important for traders of Carbon Financial Instruments and for policy makers seeking to improve the design of the Chicago Climate Exchange.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 51, Issue 4, November 2011, Pages 399–407
نویسندگان
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