Price impact of block trades: the curious case of downstairs trading in the EU emissions futures market
| Autor: | Naresh R. Pandit, Andros Gregoriou, Gbenga Ibikunle |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
carbon futures
Block trade liquidity block trades 050208 finance Discipline-Based Research 05 social sciences Economics Econometrics and Finance (miscellaneous) Equity (finance) EU-ETS Futures market Monetary economics Market liquidity 0502 economics and business Economics media_common.cataloged_instance Emissions trading 050207 economics European union Volatility (finance) Futures contract price impact media_common |
| Zdroj: | Ibikunle, G, Gregoriou, A & Pandit, N R 2016, ' Price impact of block trades : The curious case of downstairs trading in the EU emissions futures market ', The European Journal of Finance, vol. 48, no. 4, pp. 431-447 . https://doi.org/10.1080/1351847X.2014.935871 |
| ISSN: | 1466-4364 1351-847X |
| DOI: | 10.1080/1351847x.2014.935871 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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