Information Linkages between Emission Allowance and Energy Markets

15 Pages Posted: 17 Sep 2018

See all articles by Emma Schultz

Emma Schultz

Australian National University (ANU)

John Swieringa

Australian National University (ANU)

Multiple version iconThere are 2 versions of this paper

Date Written: September 2018

Abstract

We employ a rational expectations framework similar to that proposed by Fleming et al. (1998) to examine the source, and nature of, information linkages between the emission allowance and energy markets as gauged by the correlation of return volatilities. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market.

Keywords: Information linkages, Volatility, Emission allowance markets, Energy markets

Suggested Citation

Schultz, Emma and Swieringa, John, Information Linkages between Emission Allowance and Energy Markets (September 2018). Accounting & Finance, Vol. 58, Issue 3, pp. 921-935, 2018. Available at SSRN: https://ssrn.com/abstract=3244673 or http://dx.doi.org/10.1111/acfi.12227

Emma Schultz (Contact Author)

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601
Australia

John Swieringa

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory
Australia

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