炭素市場における日中および日次価格発見：EUA先物とカーボンETFの比較
Intraday and Daily Price Discovery in Carbon Markets: EUA Futures Versus Carbon ETFs (原題)
Otsubo, Yoichi
🤖 gxceed AI 要約
日本語
EUA先物と米国上場カーボンETF（KEUA）の日中価格発見を、時間帯別調整速度を許す状態空間モデルで分析。ETFのみの時間帯では効率的価格変動が小さく一時的変動が支配的だが、重複時間帯では両市場が迅速に調整。Fit-for-55等の政策イベント時には先物への価格発見シフトが生じ、日次ではオークション・先物・ETFが統合され長期的変動はETF関連イノベーションと関連。
English
Using a state-space model with regime-dependent adjustment speeds, we analyze intraday price discovery between EUA futures and a US-listed carbon ETF (KEUA). Innovations concentrate during futures-active hours; ETF-only hours show transitory dynamics. During overlap, both markets adjust rapidly. Around EU ETS reform milestones, price discovery shifts toward futures. Daily data show tight integration across auctions, futures, and ETF, with longer-horizon variation increasingly linked to ETF innovations.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本ではカーボン価格形成や排出量取引制度の設計が議論されており、EU ETSの価格発見メカニズムの実証は、今後の国内制度や投資家対応に示唆を与える。ETFを含む市場間の統合度は、カーボン関連金融商品の流動性や価格指標の信頼性を考える上で参考になる。
In the global GX context
This paper contributes to global carbon market scholarship by providing rigorous evidence on price discovery across EUA futures and ETFs, highlighting the role of policy events and market integration. It informs discussions on market efficiency, the design of carbon financial products, and the impact of regulatory milestones like Fit-for-55, relevant for global investors and policymakers.
👥 読者別の含意
🔬研究者:Provides a novel state-space approach to intraday price discovery in carbon markets, with implications for market efficiency and policy impact analysis.
🏢実務担当者:Useful for carbon traders and ETF issuers to understand liquidity dynamics and price discovery across venues, especially around policy events.
🏛政策担当者:Highlights how policy announcements affect price discovery, suggesting that futures markets play a key role in incorporating policy-sensitive information.
📄 Abstract（原文）
We investigate intraday price discovery between EUA futures and a US-listed carbon ETF (KEUA) using hourly data and a state-space model that separates efficient-price innovations from transitory noise and allows adjustment speeds to differ across trading-hour regimes. Results show that intrinsic-value-relevant innovations are concentrated when the futures market is active: during ETF-only hours, efficient-price innovations are small and the ETF exhibits little contemporaneous adjustment, implying largely transitory quote dynamics. During overlapping hours, both markets incorporate innovations rapidly, with the ETF adjusting at least as quickly as futures on average, while time variation in relative efficiency is linked to cross-market liquidity and policy regimes. Around major within-sample Fit-for-55/EU ETS reform milestones, price discovery shifts relatively toward EUA futures, suggesting that policy-sensitive information is incorporated primarily through the futures market. At the daily frequency, auctions, futures, and the ETF are tightly integrated: shocks transmit bidirectionally, and longer-horizon variation is increasingly associated with ETF-related innovations, consistent with a venue-interactive EU ETS pricing system.
🔗 Provenance — このレコードを発見したソース
- openalex https://hdl.handle.net/20.500.14094/0100505577first seen 2026-09-04 05:05:27
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