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dc.rights.licenseopenen_US
dc.contributor.authorRANNOU, Yves
hal.structure.identifierInstitut de Recherche en Gestion des Organisations [IRGO]
dc.contributor.authorBARNETO, Pascal
IDREF: 069869227
dc.date.accessioned2021-06-14T07:30:07Z
dc.date.available2021-06-14T07:30:07Z
dc.date.issued2016-01
dc.identifier.issn0140-9883en_US
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/79117
dc.description.abstractEnThis paper constitutes the first exercise of analysing the European carbon market efficiency from a double perspective combining both nature of execution venues (screen vs. OTC trading) and their volatility/liquidity relations. Using a bivariate asymmetric GJR-GARCH model, we first document that OTC (exchange traded) trading volume shows consistent bi-(uni) directional Granger causality to our volatility estimates, consistent with greater responsiveness of the OTC (exchange traded) market to changes in market-wide (idiosyncratic) risks. Second, we report significant contemporaneous and lagged positive causality of OTC derivatives volume on spot/futures volatility confirming that the Sequential Information Arrival Hypothesis (SIAH) applies. Third, we find that the one-way causality from OTC to futures volumes is mainly driven by heterogeneous investor beliefs: trading volume provides an indication on how (private) information is dispersed and held at different levels rather than proxying information signal itself. After rejecting execution venues' substitutability, we advocate for systematic clearing and netting of OTC positions through a unique clearing house and reporting rules to identify speculation in line with Mifid (Art. 59) proposals.
dc.language.isoENen_US
dc.subject.enAsymmetric volatility
dc.subject.enCarbon markets
dc.subject.enMarket architecture
dc.subject.enTrading volume
dc.title.enFutures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets
dc.typeArticle de revueen_US
dc.identifier.doi10.1016/j.eneco.2014.10.010en_US
dc.subject.halSciences de l'Homme et Société/Gestion et managementen_US
bordeaux.journalEnergy Economicsen_US
bordeaux.page159-174en_US
bordeaux.volume53en_US
bordeaux.hal.laboratoriesIRGO (Institut de Recherche en Gestion des Organisations) - EA 4190en_US
bordeaux.institutionUniversité de Bordeauxen_US
bordeaux.teamEntreprises Familialesen_US
bordeaux.peerReviewedouien_US
bordeaux.inpressnonen_US
hal.exportfalse
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Energy%20Economics&rft.date=2016-01&rft.volume=53&rft.spage=159-174&rft.epage=159-174&rft.eissn=0140-9883&rft.issn=0140-9883&rft.au=RANNOU,%20Yves&BARNETO,%20Pascal&rft.genre=article


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