The full text of this article

 

Investability of the European Union emissions trading scheme: an empirical investigation under economic uncertainty
by Scott J. Niblock; Jennifer L. Harrison
International Journal of Green Economics (IJGE), Vol. 7, No. 3, 2013

 

Abstract: This paper explores investment characteristics of the European Union Emissions Trading Scheme (EU ETS) during the Global Financial Crisis (GFC). We show that the EU ETS demonstrates significant price volatility, risk-adjusted return under-performance and positive correlations with international equity markets during the GFC, while an OLS regression reveals that carbon market returns are only statistically linked to European equity market returns (both lagged and unlagged). The poor investment performance of carbon assets, interpreted alongside our additional findings and the context of the EU ETS, indicates that during financial crises impacting on developed economies, investors in such economies may need to avoid buy-and-hold strategies and reduce portfolio weightings. Moreover, these investors may need to consider diversifying their portfolio holdings until there is an improvement in economic conditions and/or greater certainty with global climate change policy.

 

is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

 
Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

 
Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Green Economics (IJGE):
Login with your Inderscience username and password:

 

    Username:        Password:         

Forgotten your password?


 
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

 
If you still need assistance, please email subs@inderscience.com