Please use this identifier to cite or link to this item: https://hdl.handle.net/10316.2/38148
Title: Towards an auction system in the allocation of EU Emission Rights: its effect on firms’ stock market returns
Authors: Silva, Patrícia Pereira da
Moreno, Blanca
Fonseca, Ana Rosa
Keywords: European Union Emission trading system;Energy costs;Vector error correction analysis
Issue Date: 2015
Publisher: Imprensa da Universidade de Coimbra
Journal: http://hdl.handle.net/10316.2/38126
Abstract: The impact of the European Union Emission Trading System (EU ETS) on firms’ stock market returns relies on the system employed to allocate emission allowances. This impact has been analysed in the literature for the EU ETS Phase I and II periods under which allowances were given for free. However, the effect during the current phase, Phase III, where the allocation of emission permits is based on an auction system has not yet been analysed and discussed. In this framework, this paper discloses the results of a research aimed at investigating the interactions between the stock market returns of Spanish industry sectors under EU ETS and emission rights prices during the first year and half of Phase III. A cointegrated Vector Error Correction analysis is employed for the period covering January 1st 2013 until July 31st 2014. The analysis presents statistically significant positive long-run impact of EU ETS on power sector, cement and petroleum and negative impact on iron and steel sectors. No short-run interactions were found for the sectors analysed.
URI: https://hdl.handle.net/10316.2/38148
ISBN: 978-989-26-1038-2
978-989-26-1039-9 (PDF)
DOI: 10.14195/978-989-26-1039-9_2
Rights: open access
Appears in Collections:Assessment methodologies: energy, mobility and other real world application

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