Options introduction and volatility in the EU ETS
Options introduction and volatility in the EU ETS
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DOI：
10.1016/j.reseneeco.2011.07.002
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发表时间：
2011-11-01
影响因子：
2.9
通讯作者：
Sevi, Benoit
中科院分区：
文献类型：
--
作者：
Chevallier, Julien;Le Pen, Yannick;Sevi, Benoit
改进欧洲联盟排放交易计划的风险管理。欧洲气候交易所（ECX）于2006年10月推出了期权工具。我们要解决的核心问题是：我们能否确定期权的引入对基础市场（EUA期货）的潜在不稳定影响？事实上，关于商品期货的文献表明，采用衍生工具可能会减少（由于市场深度增加）或增加（由于投机增加）波动性。由于这些影响的识别最终仍然是一个实证问题，我们使用2005年4月至2008年4月的每日数据来记录欧盟E。通过对各种GARCH模型、内生突破检验和滚动窗口估计的分析，我们的研究结果总体上表明，期权市场的引入在影响欧盟排放交易体系动态的同时，也降低了欧盟排放交易体系的波动水平。这些发现与能源和商品市场的其他可能影响因素相比相当强劲。(C)2011爱思唯尔有限公司版权所有。
To improve risk management in the European Union Emissions Trading Scheme (EU ETS). the European Climate Exchange (ECX) has introduced option instruments in October 2006. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EUA futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU E. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had the effect of decreasing the level of volatility in the EU ETS while impacting its dynamics. These findings are fairly robust to other likely influences linked to energy and commodity markets. (C) 2011 Elsevier B.V. All rights reserved.