炭素市場における日中および日次価格発見：EUA先物と炭素ETFの比較
Intraday and Daily Price Discovery in Carbon Markets: EUA Futures Versus Carbon ETFs (原題)
Yoichi Otsubo
🤖 gxceed AI 要約
日本語
EUA先物と米国上場の炭素ETF（KEUA）の日中価格発見を、時間帯別の調整速度を許す状態空間モデルで分析。先物市場が活発な時間帯に本質的価値の革新が集中し、重複時間帯ではETFも迅速に調整する。Fit-for-55等の政策イベント時には先物への価格発見のシフトが見られ、日次ではオークション・先物・ETFが統合されている。
English
This study examines intraday price discovery between EUA futures and a US-listed carbon ETF (KEUA) using a state-space model with regime-dependent adjustment speeds. Intrinsic value innovations concentrate during active futures trading hours, while during overlapping hours both markets adjust rapidly. Policy milestones shift price discovery toward futures, and daily data show tight integration across auctions, futures, and the ETF.
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・プライシング導入が進む中、排出量取引市場の価格形成メカニズム理解は重要。本研究成果は、日本が将来市場設計を検討する際の参考となる。また、ETF等の金融商品を通じた炭素市場参加の示唆も得られる。
In the global GX context
This paper contributes to global understanding of carbon market microstructure, relevant for policymakers and investors in the EU ETS and other emissions trading systems. It highlights the role of derivatives and ETFs in price discovery, informing market design and risk management practices.
👥 読者別の含意
🔬研究者:Provides a rigorous empirical framework for analyzing price discovery in carbon markets with intraday data.
🏢実務担当者:Offers insights for carbon traders and ETF investors on where price information originates and how to adjust trading strategies.
🏛政策担当者:Informs EU ETS market design and monitoring, particularly regarding the impact of policy announcements on price formation.
📄 Abstract（原文）
ABSTRACT 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://doi.org/10.1111/irfi.70099first seen 2026-08-28 04:45:53
🔔 こうした論文の新着を逃したくない方は キーワードアラート に登録（無料・3キーワードまで）。
gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。