آزمون فرضیه تفاوت شرط بندی در کمک هزینه انتشارCO2

This study examines the martingale difference hypothesis (MDH) for the carbon emission allowance market within the European Union Emission Trading Scheme (EU ETS) during the Phase I and the Phase II, using both daily and weekly data over the 2005–2009 period. We analyze the MDH for spot prices negotiated on BlueNext, European Energy Exchange and Nord Pool along with futures prices negotiated on BlueNext and European Climate Exchange, using the new variance ratio tests developed by Kim (2009) and the generalized spectral test proposed by Escanciano and Velasco (2006). For the Phase I, the results show that the spot price changes of these three markets are predictable, suggesting the possibility of abnormal returns through speculation, except during the period April 2006 to October 2006, namely after the compliance break and before the ECs of stricter NAP II. Finally, we find that the CO2 spot and futures price changes are unpredictable during the Phase II because we failed to reject the MDH based on both daily and weekly data. Thus, these markets are found to be weak-form efficient.

The European Union Emission Trading Scheme (EU ETS) was introduced in January 2005 as the central framework that EU member states should employ to fulfill their obligations under the Kyoto protocol, i.e., to reduce the anthropogenic contribution of greenhouse gas (GHG) emissions (primarily CO2) in the atmosphere.1 The EU markets are the largest, most liquid and most developed, covering up to 40% of European CO2 emissions. The EU ETS has been designed to operate in two initial phases. The first phase (2005–2007, Phase I) is a pilot phase during which the trading volume increased from 262 million metric tons in 2005 to 818 million metric tons in 2006 and to 1.4 billion in 2007. The value of trades reached 30 billion euros in 2007. Phase I established a strong carbon market and provided new business development opportunities for risk management and market operators. The second phase (2008–2012, Phase II) coincides with the period when the EU must meet the 8% decrease from 1990 levels under the Kyoto Protocol. For the post-2012 period, the European Commission (EC, hereafter) has decided to continue the operation of the market. The EU member states have agreed to reduce their GHG emissions by an overall 20% by the 1990 levels under the Kyoto protocol by 2020.2 To improve the fluidity of the EU ETS, organized allowance trading has been segmented across trading platforms: Nordic Power Exchange (Nord Pool) in Norway arose in February 2005, European Energy Exchange (EEX) emerged in Germany in March 2005, European Climate Exchange (ECX) based in London and Amsterdam started in April 2005, BlueNext launched in France in June 2005,3 Energy Exchange Austria (EEA) in Austria began in June 2005, and SendeCO2 in Spain started at the end of 2005. Several relevant research papers have been published in the economics literature on the emission allowance market mechanisms and, policies and their implications.4 Recently, a growing body of empirical research has been undertaken in a financial market framework, especially on the behavior of emission allowance spot and futures prices, e.g., Alberola et al., 2008, Daskalakis and Markellos, 2008, Paolella and Taschini, 2008, Seifert et al., 2008, Benz and Trück, 2009 and Boutaba, 2009.5 An important question is whether the chosen mechanics of the EU ETS have allowed the market to operate efficiently during the Phase I (2005–2007) and since implementing the Phase II (2008–2012). In other words, do emission allowance prices reflect all available information to the extent that no investor can systematically gain excess returns (Jensen, 1978)? Investigating this issue is crucial, because the prime aim of the EU ETS is to allow the participating countries to achieve environmental compliance in a cost-effective and economically optimal manner, both of which implicitly require that the market itself be efficient. The efficiency of the CO2 market is particularly important for emission intensive firms, policy makers, risk managers and investors in the emerging class of energy and carbon hedge funds. Carbon market efficiency is intended to enable firms to achieve their emission reductions at minimum cost. One policy implication of inefficient markets is a greater need for regulation to improve information flows and reduce market manipulation. Since the seminal papers of Samuelson, 1965 and Fama, 1965, the efficient market hypothesis (EMH thereafter), and more precisely the weak-form informational market hypothesis, states that the information contained in past prices is instantly, fully and perpetually reflected in the asset's current price. This implies that the prices follow a random walk or a martingale.6 As a result, future price changes are purely unpredictable based on past price information and fluctuate only in response to the random flow of news (see, Fama, 1970, Fama, 1991, Fama, 1998, Fama and French, 1988 and Lo and MacKinlay, 1988; among others). Moreover, given that price adjustment to a new piece of information is instantaneous and accurate, returns cannot be predicted. This means that historical price changes cannot be used to form superior forecasts or to earn trading profits above the level justified by the risk assumed. Most of the EMH studies on financial markets test for weak-form efficiency through the martingale difference hypothesis (MDH thereafter) where the current price is the best predictor of the future price and the returns are independent from (or uncorrelated with) the past values. If the CO2 emission market is weak-form efficient, then the change in the CO2 spot price follows a martingale difference sequence (MDS thereafter), and the price changes are unpredictable. This means that it is impossible for a trader to gain excess returns over time through speculation. If the market is not weak-form efficient, then the price changes are predictable. Thus, traders can generate abnormal returns through speculation. For these reasons, the predictability of returns is an important issue in carbon market efficiency. Nevertheless, little attention has been devoted to weak-form efficiency in CO2 markets. Seifert et al. (2008) show that BlueNext market is efficient, using autocorrelation tests and daily CO2 spot data from June 24, 2005 to December 15, 2006. Daskalakis and Markellos (2008) assess weak-form efficiency by analyzing spot and futures market data from BlueNext, Nord Pool and ECX, using daily prices covering the period from the first available quote until December 12, 2006. They find that BlueNext and Nord Pool markets are not consistent with weak-form efficiency from variance ratio tests and technical analysis trading rules. In this paper we extend the examination of the weak-form EMH in the EU ETS markets for CO2 emission allowances in two ways. First, this study is based on a more extensive sample. We analyze daily data for three spot markets, BlueNext, EEX and Nord Pool, during the Phase I (2005–2008) and the Phase II (2008–2009) to compare the evolution between the two initial phases and these markets. We investigate the EMH over various sub-periods to analyze the effects of the important structural change due to the first disclosure of 2005 verified emissions in April 2006 revealing the long position of each plant, which was accompanied by a sudden allowance price collapse, as well as the EC's announcements of stricter National Allocation Plan (NAP, hereafter) II validation in October 2006, which reinforced the depressive effect on prices. We also consider the daily data for two futures markets, BlueNext and ECX, during the Phase II. Furthermore, we analyze the weekly data for the three spot and the two futures markets to see if the results are robust to different degrees of data aggregation and time horizons. The weekly data can overcome potential problems present in the daily data, which are caused by thin trading, bid–ask spread, and nonsynchronous trading. Second, the unpredictability of the CO2 spot and futures price changes, which is an implication of weak-form market efficiency, is evaluated using a powerful method: the variance ratio (VR) test.7 More precisely, we apply the bootstrapped automatic VR test proposed by Kim (2009). This VR test is robust to heteroscedasticity and non-normality which are present in CO2 emission allowance prices (e.g., Daskalakis and Markellos, 2008, Benz and Trück, 2009 and Joyeux and Milunovich, 2010) and possess desirable small sample properties such as high power. We also apply the generalized spectral test developed by Escanciano and Velasco (2006) which can capture possible non-linear dependence (see Escanciano and Lobato, 2009 and Charles et al., forthcoming). The remainder of this paper is organized as follows. Section 2 presents the bootstrapped automatic VR test and the generalized spectral test. Section 3 summarizes the characteristics of the data. The empirical results on the MDH are given in Section 4. The conclusion is drawn in Section 5.

This paper explored weak-form efficiency in EU ETS markets for carbon emission allowances, using spot prices negotiated on BlueNext, EEX and Nord Pool, during the Phase I and Phase II, as well as futures prices negotiated on BlueNext and ECX during the Phase II (both daily and weekly data). We used the new variance ratio test, which is robust to heteroscedasticity and non-normality (present in EUAs spot and futures prices) and powerful in a small sample, namely the bootstrapped automatic VR test proposed by Kim (2009), along with the generalized spectral test developed by Escanciano and Velasco (2006), which can capture possible non-linear dependence. For the Phase I, the results showed that the spot price changes of these three markets are predictable, suggesting the possibility of abnormal returns through speculation, except during the period April 2006 to October 2006, namely after the compliance break and before the EC's of stricter NAP II. Note that the first disclosure of 2005 verified emissions, which caused a sudden allowance price collapse in April 2006 did not appear to affect the predictability of price changes. Finally, we showed that the CO2 spot and futures price changes are unpredictable during the Phase II because we failed to reject the MDH based on both daily and weekly data. These markets are thus weak-form efficient. Daskalakis and Markellos (2008) argue that allowing for short selling and for allowance banking between successive phases may increase liquidity and improve the efficiency of the market. It is imperative that policy makers address these issues during the eminent reviewing process, to ensure that the EU ETS evolves into a mature, efficient and internationally competitive market. From an economic viewpoint, if the price changes are unpredictable, prices send a signal that gives industry an incentive to reduce emissions. Market efficiency is needed to boost the credibility of the system. Further research should investigate whether the futures price is an unbiased and efficient predictor of the spot price.