How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS
Abstract
:1. Introduction
2. Data
3. Methods
3.1. Determination of Event Windows
3.2. Modeling of Comoves
4. Results
4.1. Observational Results
4.2. Empirical Results
5. Discussion
5.1. Full Impacts on Comoves
5.2. Ex-Ante and Ex-Post Impacts
6. Conclusions
Author Contributions
Funding
Conflicts of Interest
Nomenclature
Abbreviations | |
ACF | Autocorrelation function |
ADF | Augmented Dickey–Fuller |
AR | Autoregressive |
ARMA | Autoregressive and moving average |
CB | Compliance buying |
CITL | Community Independent Transaction Log |
CS | Compliance selling |
EU ETS | European Union emissions trading scheme |
EUA | European Union Allowance |
EUTL | European Union Transaction Log |
GARCH | Generalized autoregressive conditional heteroskedastic |
GHG | Greenhouse gas |
ICSS | Iterated cumulative sums of squares |
MA | Moving average |
NB | Non-compliance buying |
NS | Non-compliance selling |
PACF | Partial autocorrelation function |
Symbols | |
CP | Carbon price |
Di | Dummy variable |
RCP | Logarithm return of the carbon price |
VCB | Volume of compliance buying |
VCS | Volume of compliance selling |
VNB | Volume of non-compliance buying |
VNS | Volume of non-compliance selling |
Z | ARCH, autoregressive conditional heteroskedastic |
σ | GARCH |
θ | Coefficient |
β | Coefficient |
γ | Coefficient |
λ | Coefficient |
Superscripts | |
A | The announcement period |
C | The complete period |
I | Phase I |
II | Phase II |
PP | The pre- and post-announcement periods |
Subscripts | |
a, b, c | Count |
i | Count |
t | Time point |
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Mean | Std. dev | Skewness | Kurtosis | Maximum | |||
---|---|---|---|---|---|---|---|
Phase I | Complete Period | CB | 0.515 | 1.867 | 6.713 | 58.889 | 20.793 |
CS | 0.552 | 0.922 | 4.291 | 28.492 | 9.829 | ||
NB | 0.412 | 1.730 | 7.210 | 61.974 | 17.985 | ||
NS | 0.243 | 0.895 | 8.982 | 110.484 | 13.955 | ||
Announcement period | CB | 0.924 | 1.990 | 3.198 | 14.246 | 11.831 | |
CS | 0.710 | 0.811 | 2.776 | 11.013 | 4.297 | ||
NB | 0.826 | 2.421 | 4.736 | 27.658 | 17.985 | ||
NS | 0.218 | 0.505 | 4.306 | 23.141 | 3.305 | ||
Pre-announcement period | CB | 1.148 | 2.396 | 2.832 | 11.008 | 9.831 | |
CS | 0.815 | 0.834 | 2.448 | 8.969 | 4.213 | ||
NB | 1.302 | 3.182 | 3.505 | 15.611 | 13.965 | ||
NS | 0.279 | 0.587 | 3.397 | 14.759 | 3.305 | ||
Post-announcement Period | CB | 0.708 | 1.425 | 2.797 | 11.152 | 7.747 | |
CS | 0.627 | 0.826 | 3.049 | 12.349 | 4.297 | ||
NB | 0.313 | 0.910 | 6.523 | 51.567 | 7.682 | ||
NS | 0.155 | 0.387 | 6.420 | 50.994 | 3.277 | ||
Phase II | Complete Period | CB | 0.585 | 1.893 | 6.090 | 46.328 | 12.025 |
CS | 0.568 | 2.236 | 25.823 | 762.295 | 4.189 | ||
NB | 0.614 | 3.119 | 17.510 | 351.245 | 4.289 | ||
NS | 0.599 | 3.429 | 24.226 | 649.108 | 5.811 | ||
Announcement period | CB | 1.046 | 2.278 | 3.881 | 20.482 | 8.212 | |
CS | 0.711 | 1.177 | 4.613 | 32.619 | 3.589 | ||
NB | 0.847 | 1.708 | 4.089 | 23.243 | 2.213 | ||
NS | 0.806 | 1.432 | 3.229 | 15.934 | 2.183 | ||
Pre-announcement period | CB | 1.201 | 2.441 | 3.790 | 19.164 | 9.694 | |
CS | 0.872 | 1.179 | 3.518 | 18.238 | 3.329 | ||
NB | 1.140 | 2.029 | 3.435 | 16.650 | 3.839 | ||
NS | 1.088 | 1.600 | 2.771 | 12.804 | 5.459 | ||
Post-announcement Period | CB | 0.598 | 1.673 | 4.785 | 30.448 | 9.694 | |
CS | 0.432 | 0.754 | 3.943 | 22.566 | 3.178 | ||
NB | 0.321 | 0.611 | 3.043 | 12.854 | 3.387 | ||
NS | 0.298 | 0.553 | 3.096 | 13.972 | 5.646 |
Variable | Coefficient | Z-Statistic | Pr. | |||
---|---|---|---|---|---|---|
Phase I | Complete Period | Mean Equation (Equation (2)) | ||||
θ1I,C | 7.04 × 10−4 | 0.141 | 0.888 | |||
θ2I,C | −0.205 | −3.115 | 0.002 *** | |||
θ3I,C | 2.54 × 10−3 | 2.879 | 0.004 *** | |||
θ4I,C | −4.73 × 10−3 | −1.744 | 0.081 * | |||
Variance Equation (Equation (4)) | ||||||
β1I,C | 2.10 × 10−3 | 4.779 | 0.000 *** | |||
β2I,C | 0.145 | 3.641 | 0.000 *** | |||
β3I,C | 0.550 | 6.608 | 0.000 *** | |||
γ1I,C | −1.38 × 10−4 | −743.052 | 0.000 *** | |||
γ2I,C | −4.70 × 10−4 | −14.844 | 0.000 *** | |||
Announcement Period | Mean Equation (Equation (2)) | |||||
θ1I,A | 1.30 × 10−3 | 0.268 | 0.789 | |||
θ2I,A | −0.196 | −3.080 | 0.002 *** | |||
θ3I,A | 2.53 × 10−3 | 3.010 | 0.002 *** | |||
θ4I,A | −4.92 × 10−3 | −1.880 | 0.060 * | |||
Variance Equation (Equation (6)) | ||||||
β1I,A | 2.07 × 10−3 | 4.487 | 0.000 *** | |||
β2I,A | 0.143 | 3.757 | 0.001 *** | |||
β3I,A | 0.540 | 6.195 | 0.000 *** | |||
γ1I,A | −8.47 × 10−5 | −0.413 | 0.680 | |||
γ2I,A | −4.34 × 10−4 | −1.701 | 0.089 * | |||
λ1I,A | −5.95 × 10−5 | −0.296 | 0.768 | |||
λ2I,A | −6.24 × 10−4 | −1.698 | 0.090 * | |||
Phase II | Complete Period | Mean Equation (Equation (3)) | ||||
AR(1)II,C | 2.76 × 10−2 | 0.036 | 0.971 | |||
MA(1)II,C | −1.59 × 10−2 | −0.021 | 0.984 | |||
Variance Equation (Equation (4)) | ||||||
β1II,C | 9.92 × 10−6 | 3.045 | 0.002 *** | |||
β2II,C | 0.128 | 8.267 | 0.000 *** | |||
β3II,C | 0.862 | 51.658 | 0.000 *** | |||
γ1II,C | −8.11 × 10−4 | −1.624 | 0.105 | |||
γ2II,C | 1.61 × 10−3 | 1.997 | 0.046 ** | |||
Announcement Period | Mean Equation (Equation (3)) | |||||
AR(1)II,A | 0.968 | 25.979 | 0.000 *** | |||
MA(1)II,A | −0.971 | −26.478 | 0.000 *** | |||
Variance Equation (Equation (6)) | ||||||
β1II,A | 9.83 × 10−6 | 2.943 | 0.003 *** | |||
β2II,A | 0.119 | 7.904 | 0.000 *** | |||
β3II,A | 0.868 | 53.023 | 0.000 *** | |||
γ1II,A | −1.84 × 10−4 | −0.189 | 0.850 | |||
γ2II,A | 2.14 × 10−3 | 1.109 | 0.268 | |||
λ1II,A | −2.97 × 10−3 | −2.344 | 0.019 ** | |||
λ2II,A | 1.53 × 10−3 | 0.693 | 0.488 |
Variable | Coefficient | Z-Statistic | Pr. | ||
---|---|---|---|---|---|
Phase I | Pre- and Post-Announcement Periods | Mean Equation (Equation (2)) | |||
θ1I,PP | 9.69 × 10−4 | −0.207 | 0.836 | ||
θ2I,PP | −0.196 | −3.095 | 0.002 *** | ||
θ3I,PP | 2.50 × 10−3 | 2.954 | 0.003 *** | ||
θ4I,PP | −4.99 × 10−3 | −1.905 | 0.057 * | ||
Variance Equation (Equation (9)) | |||||
β1I,PP | 2.07 × 10−3 | 4.513 | 0.000 *** | ||
β2I,PP | 0.143 | 3.741 | 0.000 *** | ||
β3I,PP | 0.542 | 6.245 | 0.000 *** | ||
γ1I,PP | −1.33 × 10−4 | −6.812 | 0.000 *** | ||
γ2I,PP | −4.22 × 10−4 | −5.581 | 0.000 *** | ||
λ1I,PP | −6.11 × 10−4 | −2.532 | 0.011 ** | ||
λ2I,PP | −1.01 × 10−3 | −2.277 | 0.023 ** | ||
Phase II | Pre- and Post-Announcement Periods | Mean Equation (Equation (3)) | |||
AR(1)II,PP | −1.96 × 10−2 | −0.027 | 0.978 | ||
MA(1)II,PP | 3.13 × 10−2 | 0.043 | 0.966 | ||
Variance Equation (Equation (10)) | |||||
β1II,PP | 6.68 × 10−6 | 2.138 | 0.033 ** | ||
β2II,PP | 0.103 | 7.409 | 0.000 *** | ||
β3II,PP | 0.885 | 58.115 | 0.000 *** | ||
γ1II,PP | 3.87 × 10−3 | 3.501 | 0.001 *** | ||
γ2II,PP | −8.45 × 10−4 | −1.247 | 0.212 | ||
λ1II,PP | −2.73 × 10−3 | −3.544 | 0.000 *** | ||
λ2II,PP | −7.77 × 10−5 | −0.043 | 0.966 |
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Guo, J.; Su, B.; Yang, G.; Feng, L.; Liu, Y.; Gu, F. How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS. Sustainability 2018, 10, 3255. https://doi.org/10.3390/su10093255
Guo J, Su B, Yang G, Feng L, Liu Y, Gu F. How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS. Sustainability. 2018; 10(9):3255. https://doi.org/10.3390/su10093255
Chicago/Turabian StyleGuo, Jianfeng, Bin Su, Guang Yang, Lianyong Feng, Yinpeng Liu, and Fu Gu. 2018. "How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS" Sustainability 10, no. 9: 3255. https://doi.org/10.3390/su10093255