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- W3121922017 abstract "We study the informational efficiency of the European Emissions Trading Scheme, EU ETS market by simulating the trading in this emerging market. If the market is efficient, profitable trading should only exist locally in time. We adopt the Timmermann and Granger (2004) definition of efficiency and for the first time in the literature run a large set of econometric, technical analysis and combined models to forecast the emissions allowance price changes. These forecasts are then used as trading signals in the trading simulation. We find that the combined models outperform the other models in forecasting ability. Trading simulation based on models combining time series and technical analysis trading rules shows that there have been possibilities for profitable trading in the EU ETS market during the study period of 2008–2010. This suggests that the EU ETS market shows periods with no informational efficiency." @default.
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- W3121922017 date "2012-03-22" @default.
- W3121922017 modified "2023-09-27" @default.
- W3121922017 title "Informational Efficiency of the EU ETS market – a study of price predictability and profitable trading" @default.
- W3121922017 hasPublicationYear "2012" @default.
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