TY - JOUR
T1 - Emission permits and the announcement of realized emissions
T2 - Price impact, trading volume, and volatilities
AU - Hitzemann, Steffen
AU - Uhrig-Homburg, Marliese
AU - Ehrhart, Karl Martin
N1 - Funding Information:
This work has benefited from the financial support of the Graduate School “Information Management and Market Engineering” at the Karlsruhe Institute of Technology, funded by Deutsche Forschungsgemeinschaft (DFG), Graduate School 895 .
Publisher Copyright:
© 2015 Elsevier B.V.
PY - 2015
Y1 - 2015
N2 - This paper investigates the impact of the yearly announcement of realized emissions on the European carbon permit market. We find that this event generally leads to significant absolute abnormal returns on the event day, which are accompanied by increased trading volumes and high intraday volatilities. To the contrary, trading is particularly calm on the days before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is expected by the market and incorporated in emission permit option prices. In line with these significant market reactions, we provide evidence that the emissions announcement has an outstanding information content for the market compared to other relevant news events.
AB - This paper investigates the impact of the yearly announcement of realized emissions on the European carbon permit market. We find that this event generally leads to significant absolute abnormal returns on the event day, which are accompanied by increased trading volumes and high intraday volatilities. To the contrary, trading is particularly calm on the days before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is expected by the market and incorporated in emission permit option prices. In line with these significant market reactions, we provide evidence that the emissions announcement has an outstanding information content for the market compared to other relevant news events.
KW - Announcement effects
KW - EU ETS
KW - Emission permits
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U2 - 10.1016/j.eneco.2015.07.007
DO - 10.1016/j.eneco.2015.07.007
M3 - Article
AN - SCOPUS:84942036732
SN - 0140-9883
VL - 51
SP - 560
EP - 569
JO - Energy Economics
JF - Energy Economics
ER -