ArticleEnvironmental science and pollution research international2021
Spillover effect between carbon spot and futures market: evidence from EU ETS.
Article in Environmental science and pollution research international, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Authors and funding
3 authors.
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Abstract
The spillover effects of European Union Allowances (EUA) spot and futures markets are important for investors in order to understand the relevance and risk management of product prices. This paper uses non-linear methods of Granger causality to test the mean spillover relationship between the two markets and then analyzes volatility spillovers between the two by the non-linear TVP-VAR spillover index. The results show that (1) the non-linear Granger causality test better reflects the mean spillover relationship between EUA spot and futures; (2) there is a bidirectional non-linear mean spillover effect between EUA spot and futures prices for the European Union Emissions Trading Scheme (EU ETS) phases II and III; and (3) volatility spillovers, appearing in EUA spot and future markets in both phases, work increasingly strong over time and are vulnerable to financial crises and extreme events.
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