How to discriminate market conditions based on its price jump information? A result in EU ETS

摘要

Different from common commodity markets, carbon futures market is an emerging and policy driven market, showing special fluctuations in its price. In this paper, with the aim at exploring the market development status of European Union Emission Trading Scheme (EU ETS), we propose jump existence test and jump type test to capture jump information (jump intensity and jump amplitude). Through the comparison of jumps in oil futures price, we find jumps in carbon futures market are not significant in high sampling frequency (15 minutes and 30 minutes) but significant in low sampling frequency (45 minutes and 60 minutes). And large and finite jumps as well as small and infinite jumps are both occurred in this market. Analyzing these results, we suspect that carbon futures market is a weak efficient market with low liquidity. In addition, investors should select different trading strategies based on their trading frequency to hedge jump risks.