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Found 1 essay matching the above criteria.

1. 1. Effects of Carbon Pricing on EU Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrii Shekhirev; [2011]
   Keywords : emissions trading; EU ETS; vector autoregression; VECM; Granger causality;

   Abstract : The current work examines whether the price changes of European Union Allowance (EUA) contracts for emitting carbon dioxide affect the price dynamics of the European equity markets. The author uses the Vector Autoregressive (VAR) and Vector Error Correction (VECM) models in four specifications to investigate the linkages between the EUA market and major stock indexes of 27 EU countries which are participating in the second phase of the European Emissions Trading System. READ MORE