The market microstructure of the European Climate Exchange

Research, Preprint English OPEN
Yoichi Otsubo; Bruce Mizrach;
(2012)
  • Publisher: New Brunswick, NJ: Rutgers University, Department of Economics
  • Identifiers: doi: 10.2139/ssrn.1621340
  • Subject: information shares | E44 | G32 | G13 | market microstructure | carbon trading | order book imbalance | carbon; market microstructure; bid-ask spread; information share; order imbalance" ["Keywords] | bid-ask spread | market impact
    • jel: jel:G32 | jel:E44 | jel:G13
      ddc: ddc:330

This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. 2009 Trading volumes total ?22 billion and are growing, with EUA transacti... View more
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