Price impact of block trades: The curious case of downstairs trading in the EU emissions futures market

Ibikunle, 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
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: Pure Connector
Date Deposited: 28 Aug 2014 12:44
Last Modified: 21 Apr 2020 23:23
URI: https://ueaeprints.uea.ac.uk/id/eprint/49996
DOI: 10.1080/1351847X.2014.935871

Actions (login required)

View Item View Item