Testing market efficiency in the EU carbon futures market

Roselyne Joyeux, George Milunovich*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

54 Citations (Scopus)


We use the cost-of-carry model to investigate the extent of market efficiency in the EU futures market for carbon dioxide allowances over the period of June 2005 to December 2007. We reject the cost-of-carry hypothesis for the entire data sample, but find some evidence of improvement in market efficiency over the period. Recursive estimates of some cost-of-carry model parameters start approaching their theoretical values when estimated on progressively smaller and more recent sub-samples.

Original languageEnglish
Pages (from-to)803-809
Number of pages7
JournalApplied Financial Economics
Issue number10
Publication statusPublished - May 2010


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