The listing of a new asset requires the knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, we study the stylized facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in commodity futures. However, other statistical properties typical of financial assets, such as negative asymmetry and absence of an inflation hedge, are also detected. Therefore, our results indicate, surprisingly, that EUAs do not behave like common commodity futures.
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