OTC Trades and Liquidity in the European Carbon Market: More than meets the eye

Iordanis Angelos Kalaitzoglou; Boulis Maher Ibrahim

doi:10.1080/00036846.2019.1678729

OTC Trades and Liquidity in the European Carbon Market: More than meets the eye

Iordanis Angelos Kalaitzoglou, Boulis Maher Ibrahim

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Abstract

This study investigates whether the previously reported price impact of OTC trades in the EU ETS can be attributed to their distinctively larger size (liquidity related) or to their discretionary feature (information related). The findings suggest that OTC trades induce volatility shocks that are higher in magnitude and faster resolved than those of solely high trading-intensity trades, which appears to be driven mainly by their presence, rather than by their size. An analysis of intraday price premia reveals that they are strategically placed by interacting with the organized market whenever their price and volatility impact is lower.

Original language	English
Pages (from-to)	1745-1762
Number of pages	18
Journal	Applied Economics
Volume	52
Issue number	16
Early online date	17 Oct 2019
DOIs	https://doi.org/10.1080/00036846.2019.1678729
Publication status	Published - 2 Apr 2020

Keywords

CO emission allowances
Liquidity ‘heat’ measure
OTC

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/00036846.2019.1678729

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This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 17/10/2019, available online: http://www.tandfonline.com/10.1080/00036846.2019.1678729
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Cite this

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OTC Trades and Liquidity in the European Carbon Market: More than meets the eye

Abstract

Keywords

ASJC Scopus subject areas

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