The impacts of liquidity dynamics on emissions allowances price: Different evidence from China's emissions trading pilots

The impacts of liquidity dynamics on emissions allowances price: Different evidence from China's... The liquidities of China's emissions trading markets have significant impacts on emissions allowances price movement and pricing efficiency. Liquidity measures on illiquidity ratio and trade values indicate Hubei emissions allowances (HBEA) product has the highest liquidity, Shenzhen allowances (SZA) and Guangdong emissions allowances(GDEA) products have the higher liquidity than Beijing emissions allowances (BEA) and Shanghai emissions allowances (SHEA) products, while Tianjin emissions allowances (TJEA) product has the lowest market liquidity in considered China's emissions trading pilots. The dynamics of the illiquidity ratios for all selected emissions allowances products are negatively related with emissions allowances returns, and trade volumes for BEA, TJEA, SZA and HBEA products are also negatively related with emissions allowances returns. The dynamics of daily illiquidity ratios and trade-based liquidity in Beijing, Tianjin, Guangdong, Shenzhen, Hubei emissions pilots have significant volatility clustering impacts on the variances of regional emissions allowances returns. Previous market shocks of overnight and intraday price variations have the more persistent influences on the GDEA returns than HBEA returns, reflecting greater inter-day price ranges clustering effect. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Cleaner Production Elsevier

The impacts of liquidity dynamics on emissions allowances price: Different evidence from China's emissions trading pilots

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Publisher
Elsevier
Copyright
Copyright © 2018 Elsevier Ltd
ISSN
0959-6526
D.O.I.
10.1016/j.jclepro.2018.02.150
Publisher site
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Abstract

The liquidities of China's emissions trading markets have significant impacts on emissions allowances price movement and pricing efficiency. Liquidity measures on illiquidity ratio and trade values indicate Hubei emissions allowances (HBEA) product has the highest liquidity, Shenzhen allowances (SZA) and Guangdong emissions allowances(GDEA) products have the higher liquidity than Beijing emissions allowances (BEA) and Shanghai emissions allowances (SHEA) products, while Tianjin emissions allowances (TJEA) product has the lowest market liquidity in considered China's emissions trading pilots. The dynamics of the illiquidity ratios for all selected emissions allowances products are negatively related with emissions allowances returns, and trade volumes for BEA, TJEA, SZA and HBEA products are also negatively related with emissions allowances returns. The dynamics of daily illiquidity ratios and trade-based liquidity in Beijing, Tianjin, Guangdong, Shenzhen, Hubei emissions pilots have significant volatility clustering impacts on the variances of regional emissions allowances returns. Previous market shocks of overnight and intraday price variations have the more persistent influences on the GDEA returns than HBEA returns, reflecting greater inter-day price ranges clustering effect.

Journal

Journal of Cleaner ProductionElsevier

Published: May 10, 2018

References

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