Assessing Rollover Criteria for EUAs and CERs
ABSTRACT: This study discusses how to roll over European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs continuous futures t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2014-07-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/856 |
| _version_ | 1797918239383093248 |
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| author | Oscar Carchano Vicente Medina Angel Pardo |
| author_facet | Oscar Carchano Vicente Medina Angel Pardo |
| author_sort | Oscar Carchano |
| collection | DOAJ |
| description |
ABSTRACT: This study discusses how to roll over European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs continuous futures time series. We have applied five different methodologies to link the series and our findings indicate that return distributions do not significantly differ for the different criteria. This result has direct practical implications in the field of applied econometrics of carbon markets given that we prove that the selection of the simple last-day rollover methodology criterion has no downside not only in terms of returns distribution but also with respect to liquidity levels.
Keywords: Rollover date; European Union Allowances (EUAs); Certified Emission Reductions (CERs).
JEL Classification: G1
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| first_indexed | 2024-04-10T13:26:18Z |
| format | Article |
| id | doaj.art-d9fb72b631e143208f2e563218ca1412 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:26:18Z |
| publishDate | 2014-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-d9fb72b631e143208f2e563218ca14122023-02-15T16:11:50ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382014-07-0143Assessing Rollover Criteria for EUAs and CERsOscar Carchano0Vicente Medina1Angel Pardo2University of ValenciaRepsol Trading S.A.University of Valencia ABSTRACT: This study discusses how to roll over European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs continuous futures time series. We have applied five different methodologies to link the series and our findings indicate that return distributions do not significantly differ for the different criteria. This result has direct practical implications in the field of applied econometrics of carbon markets given that we prove that the selection of the simple last-day rollover methodology criterion has no downside not only in terms of returns distribution but also with respect to liquidity levels. Keywords: Rollover date; European Union Allowances (EUAs); Certified Emission Reductions (CERs). JEL Classification: G1 https://www.econjournals.com/index.php/ijefi/article/view/856 |
| spellingShingle | Oscar Carchano Vicente Medina Angel Pardo Assessing Rollover Criteria for EUAs and CERs International Journal of Economics and Financial Issues |
| title | Assessing Rollover Criteria for EUAs and CERs |
| title_full | Assessing Rollover Criteria for EUAs and CERs |
| title_fullStr | Assessing Rollover Criteria for EUAs and CERs |
| title_full_unstemmed | Assessing Rollover Criteria for EUAs and CERs |
| title_short | Assessing Rollover Criteria for EUAs and CERs |
| title_sort | assessing rollover criteria for euas and cers |
| url | https://www.econjournals.com/index.php/ijefi/article/view/856 |
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