scholarly journals The efficiency of CO2 market in the phase III EU ETS: analyzing in the context of a dynamic approach

2021 ◽  
Author(s):  
Majid Mirzaee Ghazani ◽  
Mohammad Ali Jafari
Keyword(s):  
Phase Iii ◽  
Eu Ets ◽  
Dynamic Approach

The Efficiency of CO2 Market in the Phase III EU ETS: Analyzing in the Context of a Dynamic Approach

2021 ◽  
Author(s):  
Majid Mirzaee Ghazani ◽  
Mohammad Ali Jafari
Keyword(s):  
Historical Data ◽  
Time Windows ◽  
Oscillatory Behavior ◽  
Phase Iii ◽  
Eu Ets ◽  
Test Statistics ◽  
Dynamic Approach ◽  
Window Technique ◽  
Rolling Window ◽  
The Eu

Abstract This study has investigated the changing efficiency for the phase III EU ETS CO2 market using the daily historical data of allowance futures prices and coverage from August 2015 to June 2019. To achieve this goal, we have applied two alternative tests for checking dependency by linear and nonlinear methods, which include Generalized Spectral (GS) and Automatic Portmanteau (AQ). Also, we had a comprehensive look at the carbon market evolution and the EU ETS scheme development over time. The analysis of observed results validates the Adaptive Market Hypothesis (AMH) in the market, which corresponds with the oscillatory behavior of the applied test statistics' p-values. The other aspect of the study was to analyze the existence of evolutionary behavior on the market. To reach this purpose, we checked the results by applying a rolling window technique with four different time windows (50, 100, 150, and 250 days) on the test statistics in harmony with the adaptive market hypothesis. The obtained results show that overall, market efficiency has been improved by moving toward implementing the higher window lengths.

scholarly journals Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach

Mathematics ◽  
2021 ◽  
Vol 9 (15) ◽  
pp. 1787
Author(s):  
Pilar Gargallo ◽  
Luis Lample ◽  
Jesús A. Miguel ◽  
Manuel Salvador
Keyword(s):  
Fossil Fuels ◽  
Spillover Effect ◽  
Warning System ◽  
Energy Transition ◽  
Clean Energy ◽  
Stock Index ◽  
Phase Iii ◽  
Response Analysis ◽  
Eu Ets ◽  
The Eu

This paper analyzes the co-movements of prices of fossil fuels, energy stock markets and EU allowances. This analysis is conducted in order to identify the spillover effect of volatility and correlation among these financial markets, and to provide a scientific basis that shows the interest of incorporating sustainable assets in the design of minimum risk strategies of investment. To achieve this goal, we have used a Vector Autoregressive-Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (VAR-DCC-GARCH) model that also incorporates a stock index of industrial companies as a leading indicator of the level of economic activity. In addition, the paper conducts an impulse response analysis to determine how unexpected shocks to prices are propagated along time, and, in particular, how they affect prices of the others, both in mean, variance and correlation. Therefore, the results of this one- and two-dimensional analysis allow for the study of short and long run dynamics of the relationship among those prices, thus, providing greater meaning and information for investors, which has implications for building their portfolios. The analyzed period was from January 2010 to February 2021, so that the data include half of phase II, full phase III and the onset of phase IV of the EU ETS, as well as the COVID-19 outbreak in the European context. We also analyzed whether the EUA price impulses the demand of clean energy stocks, which has important implications for the objective of triggering the investment in clean energy. Our results show the transmission mechanism of all of those prices, which are relevant not only for investors but also for policymakers to construct an early-warning system, revealing the most important transmission channels. Moreover, from an investment viewpoint, we observe a decline in dirty energies and a rise in the clean energy market, which might be an indication of the progress towards the energy transition to renewables sources within a circular economy perspective. Therefore, this shows that the EU ETS is achieving its goals, and that clean energy companies, aligned with their role towards socially responsible initiatives, are also gaining acceptance in terms of investments, which would be beneficial for the environment.

Benchmark-Based Free Allocations in EU ETS Phase III

2015 ◽  
pp. 63-86 ◽  
Author(s):  
Oliver Sartor ◽  
Stephen Lecourt ◽  
Clement Pallière
Keyword(s):  
Phase Iii ◽  
Eu Ets

Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS

Energy Policy ◽  
2021 ◽  
Vol 156 ◽  
pp. 112428
Author(s):  
Xingyu Dai ◽  
Ling Xiao ◽  
Qunwei Wang ◽  
Gurjeet Dhesi
Keyword(s):  
Energy Markets ◽  
Higher Order ◽  
Phase Iii ◽  
Eu Ets ◽  
Higher Order Moments ◽  
The Eu

Moving Towards Phase III—Key Elements of the Review of the EU Emissions Trading Scheme

2008 ◽  
Vol 5 (2) ◽  
pp. 159-181
Author(s):  
Simon Marr ◽  
Johannes Enzmann
Keyword(s):  
Emissions Trading ◽  
Phase Iii ◽  
Full Potential ◽  
Eu Ets ◽  
Emissions Trading Scheme ◽  
Long Time ◽  
Trading Scheme ◽  
Time Planning ◽  
Eu Emissions Trading Scheme ◽  
The Eu

AbstractWith the Climate and Energy Package the European Commission has also published its draft for a revised EU Emissions Trading Scheme from 2013 onwards. The draft revision of the EU ETS serves as the EU's main pillar to fight climate change in that it requires a reduction of mainly CO2 of 21% below 2005 figures for the EU's major emissions sources in the energy and industry sectors. In addition, most notably the EU is proposing an EU wide cap and harmonised allocation rules, in order to exploit the full potential of emissions trading making national allocation plans ghosts of the past. The revised EU ETS gives investors into CDM projects the necessary long time planning security for investments into projects. At the same time it sends out a strong signal to the international negotiations for a post-2012 climate agreement in that it allows the use of more project based generated credits within the EU ETS once an ambitious post 2012 agreement is concluded.

scholarly journals Use of Mulifactor Models with Garch Structure in Carbon Emissions Risk Management

2018 ◽  
Vol 1 (1) ◽  
pp. 407-413
Author(s):  
Aneta Włodarczyk ◽  
Marta Kadłubek
Keyword(s):  
Risk Management ◽  
Carbon Emission ◽  
Phase Iii ◽  
Management Process ◽  
Eu Ets ◽  
Price Changes ◽  
Multifactor Models ◽  
Energy Companies ◽  
The Impact ◽  
The Eu

Abstract Tightening the environmental norms that result from the priorities of the EU 2030 Energy and Climate Package and the reform of the EU ETS have caused the necessity to implement an effective system of managing the risk of carbon dioxide emission and integrate it with the existing enterprise management system. Evaluation of the direction and strength of correlation between EUA price changes and energy companies stock price returns is crucial from point of view the managerial staff making proper decisions about the use of the CO2 emission permits by energy companies. It is an important stage of carbon emission risk management process. The aim of this paper is to verify the possibility of use the multifactor models with GARCH structure as a tool supporting the carbon emission management process in energy companies. Empirical analysis is connected with the estimation of multifactor models with GARCH structure in the Phase II and Phase III of the EU ETS functioning for two groups of Polish energy companies: group of the Respect Index companies and others. Such an approach allows to check whether the Respect Index companies are more robust than others on the carbon emission risk, in particular the EUA price risk associated with the intensification works on modifying the EU ETS functioning. We found that the impact of EUA price changes on energy companies stock returns and their volatility is statistically insignificant in case of all Respect Index companies.

The Impact of EU Allowance Prices on the Stock Market Indices of the European Power Industries: Evidence From the Ongoing EU ETS Phase III

2020 ◽  
pp. 108602662092482
Author(s):  
Agustín García ◽  
María Teresa García-Álvarez ◽  
Blanca Moreno
Keyword(s):  
Carbon Dioxide ◽  
European Union ◽  
Panel Data ◽  
Carbon Dioxide Emission ◽  
Least Square ◽  
Phase Iii ◽  
Eu Ets ◽  
Power Sector ◽  
Ordinary Least Square ◽  
Long Run

The European Union Emissions Trading Scheme (EU ETS) was created in 2005 to price every ton of carbon dioxide emissions. Within this framework, EU carbon dioxide emission allowances can affect electric power industry stock performance. This article uses a multifactor market model and a panel data econometric technique to investigate the long-run impact of EU carbon dioxide emission allowances on the European power sector. We also use panel cointegration to check whether there is a long-run relationship, and fully modified ordinary least square and dynamic ordinary least square to estimate any such relationship. The panel data include a daily sample for the ongoing EU ETS Phase III (from 1 January 2013 until 22 April 2017) and data from six European Union members (Austria, France, Germany, Italy, Netherlands, and Spain). The estimated coefficients suggest that EU allowance prices have a statistically significant and positive long-run effect on the European power sector stock market in EU ETS Phase III. This potentially supports EU efforts to toughen carbon reduction regime targets in order to remove the surplus from the system.

RTS,S/AS01, a vaccine targeting pre-erythrocytic stages of Plasmodium falciparum

2017 ◽  
Vol 1 (6) ◽  
pp. 533-537
Author(s):  
Lorenz von Seidlein ◽  
Borimas Hanboonkunupakarn ◽  
Podjanee Jittmala ◽  
Sasithon Pukrittayakamee
Keyword(s):  
Protective Efficacy ◽  
Age Groups ◽  
Sub Saharan Africa ◽  
Phase Iii ◽  
European Medicines Agency ◽  
Older Children ◽  
Pivotal Phase ◽  
Malaria Epidemiology ◽  
Maximum Benefit ◽  
Sub Saharan

RTS,S/AS01 is the most advanced vaccine to prevent malaria. It is safe and moderately effective. A large pivotal phase III trial in over 15 000 young children in sub-Saharan Africa completed in 2014 showed that the vaccine could protect around one-third of children (aged 5–17 months) and one-fourth of infants (aged 6–12 weeks) from uncomplicated falciparum malaria. The European Medicines Agency approved licensing and programmatic roll-out of the RTSS vaccine in malaria endemic countries in sub-Saharan Africa. WHO is planning further studies in a large Malaria Vaccine Implementation Programme, in more than 400 000 young African children. With the changing malaria epidemiology in Africa resulting in older children at risk, alternative modes of employment are under evaluation, for example the use of RTS,S/AS01 in older children as part of seasonal malaria prophylaxis. Another strategy is combining mass drug administrations with mass vaccine campaigns for all age groups in regional malaria elimination campaigns. A phase II trial is ongoing to evaluate the safety and immunogenicity of the RTSS in combination with antimalarial drugs in Thailand. Such novel approaches aim to extract the maximum benefit from the well-documented, short-lasting protective efficacy of RTS,S/AS01.

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