Publications / Research Papers
Analysis of efficience of the EU-ETS marketVezetéstudomány 2008 - scholarly articlesPublished: 1 of June, 2008

The European Emission Trading Scheme, the greatest emission trading system in the world, was launched on the first of January 2005. Since emission allowances (EUA) in this market are completely homogeneous and available in large quantities, they behave like exchange commodities with a single, uniform price. In this paper the author analyzes the product itself and the emission trading market as well. He states that price changes follow a normal distribution only in the short run, but not in the long run. He uses event study methodology to prove that according to the interpretation of Fama (1970) the market can be considered medium efficient. During this the author will analyze two events in detail: the price crash of late April, early May in 2006, when in a matter of a few days prices were reduced by half, and the Hungarian auction of quotas in December 2006.