درباره بهره وری بازار کربن اروپا: شواهد جدید از فاز II
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|13099||2013||7 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Energy Policy, Volume 54, March 2013, Pages 369–375
I examine in the period 2008–2011 the efficiency of four carbon dioxide (CO2) emission allowance futures traded in the Intercontinental Exchange (ICE). To this end, I assess the profitability of trading strategies based on simple technical analysis rules and naïve forecasts. The results from 2010 onwards are consistent with weak market efficiency. In turn, this finding suggests that the European carbon market is gradually attaining a state of maturity.
The European Commission decided in 2003 to establish a mandatory cap-and-trade system for CO2 emission allowances (or permits) as the central policy for Europe to attain its Kyoto protocol obligations (see Daskalakis et al. (2011) for a historical overview and a thorough description of the system). Since its first year of operation in 2005, the so-called EU Emissions Trading Scheme (EU ETS) has witnessed a phenomenal growth. Specifically, according to data presented in Kossoy and Guigon (2012), an impressive 7.9 billion tonnes of CO2 were traded in the form of EU emission allowances spot and derivatives contracts in 2011. This translates to a monetary value of approximately US$148 (€106) billion. Compared to 2005, this corresponds to an aggregate increase in the volume (value) of the carbon transactions of about 2340% (1703%). As a result, Europe currently dominates the global carbon trading arena with a market share during 2011 that exceeded 76%. The rationale behind the establishment of the EU ETS is the economists' belief that through emissions trading any emissions reduction targets can be achieved in an effective and economically efficient manner (e.g., Montgomery, 1972). This follows from the fact that under a cap-and-trade system the emissions intensive firms can move the permits across both different sources of pollution and time periods (e.g., Rubin, 1996). Considering that emissions abatement eventually requires all polluters to proceed to investments either for upgrading their technological infrastructure currently used, or for a complete change of technology, the relevant installations have the flexibility in this setting to undertake such investments only when the (financial) benefits of the necessary projects outweigh their costs (see Daskalakis et al., 2011). In this manner, the abatement measures will be realised where it is the cheapest and consequently the environmental targets will be met at a minimum cost. As it becomes clear, in a cap-and-trade system like the EU ETS, the emissions abatement decision is a capital budgeting decision tightly dependent on the cost of CO2, or equivalently, the price of the traded emission allowances. For example, consider a European power utility with a plant portfolio that consists primarily of coal-fired generation units characterized by low thermal efficiency and therefore by increased levels of emissions. The firm assesses different options for emissions abatement including the replacement of one of its existing power plants with a new gas-fired generation unit. This is a particularly complex decision that entails, among others, a comparison of the expected cost (price) of the carbon permits over the lifetime of the investment to the actual investment cost.1 Naturally, a misspecification of this carbon cost will lead to a suboptimal capital budgeting decision: if it is underestimated then the firm may opt to postpone the investment while, if it is overestimated then the firm will proceed to a poor investment. Thus, the consequence for the power utility in both cases is increased costs in terms of abating emissions and attaining environmental compliance. Having a market for the trading of emission allowances allows the relevant installations to avoid such pitfalls. Specifically, as long as carbon prices reflect their fundamentals, i.e., marginal abatement costs, polluters can use the prices of the carbon futures traded under the EU ETS as input for the expected future carbon cost. This is the case, however, only if the established market itself is efficient (at least in a weak-form sense), that is, only if the permits' prices reflect all available information to the extent that no investor can systematically gain abnormal risk-adjusted positive returns (Fama, 1970). Along this direction, Daskalakis and Markellos (2008) examined the efficiency of the European carbon market during Phase I of its operation (2005–2007). The authors provided evidence that the EU ETS was far from efficient, a finding they attributed to its short history.2 Nonetheless, they further argued that this may also be a result of certain controversial aspects of the EU ETS design, with the most prominent being the ban of the intertemporal trading of the permits between different phases of the scheme (for a discussion regarding this issue and its implications see Daskalakis et al. (2011) inter-alia). In 2006, however, the EU Commission started reviewing the functioning of the EU ETS and adopted a year later several improvements regarding its operation from 2008 onwards. The most anticipated one was the removal of the inter-phase banking prohibition of the emission allowances (Directive 2009/29/EC). Motivated by the aforementioned considerations, I investigate the efficiency of the European carbon market in the period January 2008–December 2011, i.e., for the main part of the so-called Phase II (2008–2012) of the EU ETS. Despite the importance of this issue, to the best of my knowledge, the only relevant study is the one by Montagnoli and de Vries (2010). The authors assessed the EU ETS market efficiency by performing a series of variance ratio tests on spot emission allowances from BlueNext. Their analysis indicated that following a period of inefficiency (Phase I), the EU ETS shows the first signs of restoring market efficiency. In the present paper, I differentiate from them in several respects. Specifically, I focus on the carbon futures market instead of the spot one for three reasons: First, the futures market is the natural choice since, as in other commodity markets, this is where the price discovery of the carbon permits takes place (e.g., Chevallier, 2010). Second, the futures market accounts for most of the liquidity in the EU ETS. Particularly, during 2011 approximately 88% of the total carbon transactions in Europe were in futures, 2% in spot emission allowances and 10% in options (Kossoy and Guigon, 2012). In this manner, I am able to straightforwardly overcome the problem of thin trading in the spot carbon market. Third, the prices of the carbon futures are directly linked to the spot ones through the cost-of-carry relationship with no convenience yield and zero storage costs (Daskalakis et al., 2009). Therefore, the efficiency of the futures market would imply the efficiency of the spot market, and thus, the efficiency of the EU ETS as a whole. Moreover, instead of investigating econometrically the validity of the random walk hypothesis, I examine whether there were any price inefficiencies that could have been potentially exploited by investors. To this end, I explore the profitability of trading strategies based on three simple technical analysis rules designed to exploit hidden patterns in prices: the variable length moving average (VMA), the trading range break-out (TRB) and the random walk (RW).3 Following the norm in the financial literature (e.g., Bessembinder and Chan, 1998 and Ratner and Leal, 1999), their performance is compared to the profitability results obtained from two benchmark investment strategies: the buy-and-hold (BH) and the sell-and-hold (SH). Naturally, in a weakly efficient market, such as, the New York Stock Exchange (NYSE) and the London Stock Exchange (LSE) (see Brock et al., 1992 and Hudson et al., 1996, respectively), we would not expect any rule to consistently generate superior risk-adjusted positive returns to the BH in normal or bull market conditions, or the SH in the case of a bear market.4
نتیجه گیری انگلیسی
The purpose of this paper is to investigate the efficiency of the European carbon market in the current Phase II of its operation. This task is undertaken by examining the potential presence of economically significant predictabilities in the prices of four carbon futures. The results suggest that in the period 2008–2009, simple technical analysis rules could have been used to consistently generate substantial risk-adjusted positive returns. However, from 2010 onwards the EU ETS shows signs of market efficiency and maturity. Indirectly, this indicates the success of the revisions adopted in Phase II of the scheme in boosting market confidence and attracting the highly sought-after liquidity. These findings are particularly important not only for the emission intensive firms, but also for a wide range of other market stakeholders, including, carbon traders, funds, speculators and policy makers.