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ToolsIbikunle, Gbenga, Gregoriou, Andros and Pandit, Naresh (2016) Price impact of block trades: The curious case of downstairs trading in the EU emissions futures market. The European Journal of Finance, 22 (2). pp. 120-142. ISSN 1351-847X
Full text not available from this repository. (Request a copy)Abstract
Using high-frequency data from the European Climate Exchange (ECX), we examine the determinants of price impact of €21 billion worth of block trades during 2008–2011 in the European carbon market. We find that wider bid-ask spreads and volatility are characterised by a smaller price impact. Larger levels of price impact are more likely to occur during the middle of the trading day, specifically the four-hour period between 11 a.m. and 3 p.m., than during the first or final hours. Purchase block trades induce a relatively smaller price impact on price run-up, while sell block trades exhibit a larger price impact on price run-up. We conclude that block trades on the ECX induce less price impact than in equity or conventional futures markets, and that a significant proportion of the effects contradict findings on block trades in those markets; thus, we provide the first evidence of the curious bent to block trading in the European Union emissions trading scheme.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | carbon futures,block trades,price impact,high-frequency trades,european union emissions,sdg 13 - climate action ,/dk/atira/pure/sustainabledevelopmentgoals/climate_action |
| Faculty \ School: | Faculty of Social Sciences > Norwich Business School |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Strategy and Entrepreneurship Faculty of Social Sciences > Research Groups > Marketing |
| Depositing User: | Pure Connector |
| Date Deposited: | 28 Aug 2014 12:44 |
| Last Modified: | 13 Apr 2023 13:46 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/49996 |
| DOI: | 10.1080/1351847X.2014.935871 |
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