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 |
Files in This Item:
File | Description | Size | Format | |
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towards_an_auction_system_in_the_allocation_of_eu_emission_rights.pdf | 1.32 MB | Adobe PDF |
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