On the High-Frequency Price Reactions of European Union Allowances to News [Elektronische Ressource] / Waldemar Rotfuß. Betreuer: Jürgen Kähler

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• Publié par: friedrich-alexander-universitat_erlangen-nurnberg
• Publié le: 01 janvier 2011
• Nombre de lectures: 27
• Langue: English

Extrait

On the High-Frequency Price Reactions of
European Union Allowances to News
Inaugural-Dissertation
zur Erlangung des akademischen Grades eines Doktors
der Wirtschafts- und Sozialwissenschaften
(Dr. rer. pol.)
der Friedrich-Alexander-Universität Erlangen-Nürnberg
vorgelegt von: Dipl.-Volksw. Waldemar Rotfuß
aus: WostokErstreferent: Professor Jürgen Kähler, Ph.D.
Zweitreferent: Dr. Hendrik Scholz
letzte Prüfung: 19. Mai 2011To Ewald RotfußACKNOWLEDGEMENTS
This thesis is based on my research at the Centre for European Economic Research
(ZEW) in Mannheim. There were many who supported me and contributed to my
progress over the years at the ZEW. First and foremost, I am very grateful to my
supervisor, Jürgen Kähler, for his helpful suggestions, support and advice over the last
five years. I very much benefited from numerous discussions with him. I also thank him
for the freedom I had in conducting my research. I would also like to thank Hendrik
Scholz for agreeing to be on my thesis committee.
I am very indebted to the thesis relevant discussions with colleagues, co-authors and
other researchers at ZEW, University of Heidelberg, University of Mannheim, Lon-
don Business School (LBS) and elsewhere, in particular: Victoria Alexeeva-Talebi
(ZEW), Niels Anger (BMWi), Derek Bunn (LBS), Christian Dick (ZEW), Reint Gropp
(EBS), Peter Heindl (ZEW), Zwetelina Iliewa (ZEW), Oliver Kopp (MVV Energie),
Francois Laisney (University of Strasbourg and ZEW), Gunnar Lang (ZEW), Andreas
Löschel (ZEW), Uta Pigorsch (University of Mannheim), Felix Schindler (ZEW), An-
dreas Schrimpf (Aarhus University and ZEW), Michael Schröder (ZEW), Benoît Sévi
(University of the Mediterranean Aix-Marseille II), Luca Taschini (LSE), Carl J. Ullrich
(Virginia Tech), Svitlana Voronkova (ZEW), Qingwei Wang (Bangor University and
ZEW), Nikolas Wölfing (ZEW).
A special thanks goes to Christian Conrad (University of Heidelberg) and Daniel Rittler
(University of Heidelberg) for the fruitful collaboration over the last years.
I thank Andreas Beck, Hela Hellerich, Anna-Lena Huthmacher, Uyanga Turmunkh,
Martin Völpel and Christian Wuttke for their excellent research assistance.
iThe earlier drafts of parts of this thesis have benefited from presentations at various
national and international conferences, workshops and seminars. I would like to
thank conference participants at the European Finance Association (2009), the German
Economic Association (2009) and the workshop participants at the 8. GEE Student
Chapter Workshop (2010) for their helpful comments and suggestions. Moreover, I
am grateful to seminar participants at the macro-finance brownbag seminar at the
ZEW and various research seminars among others at the University of Mannheim, the
University of Heidelberg and the London Business School.
I thank my employer, Centre for European Economic Research, for offering a stimulat-
ing research atmosphere and for funding several research projects, research stays and
conference travels. I especially benefited from the financial support by the Förderkreis
Wissenschaft und Praxis am Zentrum für Europäische Wirtschaftsforschung.
Moreover, I have to thank my other colleagues at the ZEW for the great interaction over
the last five years, especially Alisher Aldashev, Denis Beninger, Sarah Borgloh, Claudia
Busl, Daniel Cerquera, Markus Clauss, Katja Coneus, Christina Elschner, Christof
Ernst, Katharina Finke, Johannes Gernandt, Christian Göbel, Michael Grünewald,
Sebastian Hauptmeier, Jost Henrich Heckemeyer, Diana Heger, Friedrich Heinemann,
Tanja Hennighausen, Claudia Hermeling, Jan Hogrefe, Kai Hüschelrath, Alexander
Kalb, Marcus Kappler, Christian Köhler, Matthias Köhler, Georg Licht, Tim Mennel,
Philipp Mohl, Vigen Nikogosian, Steffen Osterloh, Timo Reister, Karsten Reuß, Andreas
Sachs, Martin Scheffel, Anja Schmiele, Atilim Seymen, Holger Stichnoth, Bodo Sturm,
Hannes Ullrich, Katrin Ullrich, Tobias Veith, Thomas Walter, Carsten Wendt, Peter
Westerheide and Benedikt Zinn.
I thank my parents, Erna und Edmund Rotfuß, my brother, Valentin Rotfuß, my sister,
Olga Rotfuß, my grandparents, Johann and Katharina Rotfuß and Otto and Maria
Lenz, my mother in-law and the rest of my family for their immense and continuous
support. Finally and most of all, I am deeply grateful to my wife, Natalia Rotfuß, for
her help during my academic progress.
iiCONTENTS
Acknowledgements i
1 Introduction 1
1.1 General Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 The Efficient Market Hypothesis . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 The European Union Emissions Trading Scheme . . . . . . . . . . . . . . 6
1.4 Relation to Other Work on EU ETS . . . . . . . . . . . . . . . . . . . . . . 10
1.5 Outline of the Thesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2 European Union Allowance Prices, Macroeconomic and Regulatory News
and Their Main Characteristics 19
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.2 Price Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.2.1 General Remarks on Price Data . . . . . . . . . . . . . . . . . . . . 20
2.2.2 Most Liquid EUA Futures Contracts . . . . . . . . . . . . . . . . . 21
2.2.3 Main Characteristics of the Price Data . . . . . . . . . . . . . . . . 24
2.3 Announcement Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
iiiCONTENTS
2.3.1 General Remarks on Announcement Data . . . . . . . . . . . . . . 31
2.3.2 Modeling the Expectations on NAPs . . . . . . . . . . . . . . . . . 34
2.3.3 Main Characteristics of the Announcement Data . . . . . . . . . . 38
2.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3 High-Frequency Price Reactions of European Union Allowance Prices
to News 46
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
3.2 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
3.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
3.3.1 Baseline Specification . . . . . . . . . . . . . . . . . . . . . . . . . 55
3.3.2 Measuring Announcement Effects . . . . . . . . . . . . . . . . . . 58
3.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
4 Economic Significance of European Union Allowance Price Reactions 66
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
4.2 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.2.1 General Assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.2.2 Trading Strategy of the Speculator . . . . . . . . . . . . . . . . . . 69
4.2.3 Trading Strategy of the Compliance Trader . . . . . . . . . . . . . 71
4.2.4 Trading Signals and Robustness of Profits . . . . . . . . . . . . . . 74
ivCONTENTS
4.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
4.3.1 In-sample Trading Results of the Speculator . . . . . . . . . . . . 76
4.3.2 Out-of-sample Trading Results of the Speculator . . . . . . . . . . 81
4.3.3 In-sample Trading Results of the Compliance Trader . . . . . . . 83
4.3.4 Out-of-sample Trading Results of the Compliance Trader . . . . . 88
4.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
General Conclusions 94
Bibliography 98
v