Pricing intraday dynamics across EUAS and CERS markets

• Author(s): Medina, Vicente ; Pardo, Ángel ; Pascual, Roberto
• Date: 2011
• Persistent ID: http://hdl.handle.net/10400.21/1425
• Origin: Repositório Científico do Instituto Politécnico de Lisboa
• Subject(s): European Union Allowance; Certified Emission Reduction; Cointegration tests; Intraday analysis
• Document Type: Conference Object
• Language: English

Description

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.