Assessing price clustering in European Carbon Markets
Assessing price clustering in European Carbon Markets
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DOI：
10.1016/j.apenergy.2011.10.022
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发表时间：
2012-04
期刊：
影响因子：
11.2
通讯作者：
F. Palao;Á. Pardo
中科院分区：
文献类型：
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作者：
F. Palao;Á. Pardo
市场中价格聚集的存在被认为是市场无效率的标志，可以影响交易策略。在本文中，我们研究了碳期货市场价格集中的存在。具体而言，我们分析了欧洲碳期货市场，并测试了某些价格高于其他价格的偏好证据。我们的研究结果揭示了在碳市场上以0和5结尾的价格存在很强的价格集群。这些发现支持吸引力假说，该假说支持引力价格的显著集群，但也支持谈判假说，该假说主张当交易成本较高时，集群程度更高。
The presence of price clustering in markets is taken as a sign of market inefficiency that can influence trading strategies. In this paper, we study the presence of a concentration in prices in carbon futures markets. Specifically, we analyze the European Carbon Futures Markets and test for evidence of preference for certain prices above others. Our results reveal the strong presence of price clustering in the carbon market at prices ending in digits 0 and 5. These findings support the attraction hypothesis, which endorses a significant clustering on gravitational prices, but also backs the negotiation hypothesis, which advocates greater clustering when trading costs are higher.