The Effects of National Allocation Plans on Carbon Markets

38 Pages Posted: 18 Oct 2007 Last revised: 22 Oct 2014

See all articles by Maria Mansanet Bataller

Maria Mansanet Bataller

University of Valencia - Faculty of Economics

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Date Written: October 2007

Abstract

The release of information in carbon markets at its early state is characterized as being numerous and not scheduled. This paper analyzes the impact of National Allocation Plans announcements on carbon prices and their volatility during the period October 2004 through May 2007, during which time more than 70 announcements were released. In order to adapt event studies methodology to the particularities of our data, a sole series with lots of announcements, we propose the Truncated Mean Model that does not take into account big surprises in the estimation period. The results indicate that news has an influence on carbon prices on both the announcement day and previous days. Additionally, we find no effects of news on returns volatility. Both findings suggest a systematic leakage of information to the market in almost all types of events.

Keywords: Event Study, National Allocation Plans, Carbon Futures Prices

JEL Classification: G13, G14

Suggested Citation

Mansanet Bataller, Maria and Pardo Tornero, Ángel, The Effects of National Allocation Plans on Carbon Markets (October 2007). Available at SSRN: https://ssrn.com/abstract=1021996 or http://dx.doi.org/10.2139/ssrn.1021996

Maria Mansanet Bataller (Contact Author)

University of Valencia - Faculty of Economics ( email )

Valencia, E-46022
Spain

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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