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- W2296958345 abstract "We examine the high frequency new information impact on prices, volatility, trading volume and illiquidity at scheduled macroeconomic and verified emissions announcements for the European carbon futures market. Verified emissions, United States non-farm payroll and German new factory order macroeconomic announcements impact carbon prices swiftly, within 5 minutes. We show that a one standard deviation surprise increase in verified emission announcements is associated with an approximate ten percentage point (9.96%) increase in carbon futures returns. A wait-and-see stylized trading behavior is evident at announcements in volatility and trading volumes. Market illiquidity increases at announcements in relation to United States non-farm payroll, albeit there is no evidence of an increase in illiquidity prior to announcements. The development of new information impact, over time, occurs mainly in the at-announcement 5-minute time interval." @default.
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- W2296958345 date "2015-01-01" @default.
- W2296958345 modified "2023-09-24" @default.
- W2296958345 title "Is Information Assimilated at Announcements in the European Carbon Market?" @default.
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- W2296958345 doi "https://doi.org/10.2139/ssrn.2616054" @default.
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