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Title: Arbitrage Opportunities and Feedback Trading: Evidence from Emissions and Energy Markets
Authors: Shi, Yukun
Chau, F
Kuo, J
First Published: 9-Feb-2015
Publisher: Elsevier
Citation: Journal of International Financial Markets, Institutions and Money, 2015, 36, pp. 130-147
Abstract: This paper extends Sentana and Wadhwani (SW 1992) model to study the presence of feedback trading in emissions and energy markets and the extent to which such behaviour is linked to the level of arbitrage opportunities. Applying our augmented models to the carbon emission and major energy markets in Europe, we find evidence of feedback trading in coal and electricity markets, but not in carbon market where the institutional investors dominate. This finding is consistent with the notion that institutional investors are less susceptible to pursuing feedback-style investment strategies. In further analysis, our results show that the intensity of feedback trading is significantly related to the level of arbitrage opportunities, and that the significance of such relationship depends on the market regimes.
DOI Link: 10.1016/j.intfin.2015.02.002
ISSN: 1042-4431
eISSN: 1873-0612
Embargo on file until: 9-Feb-2018
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2015 Elsevier B.V. All rights reserved. This manuscript version is made available after the end of the embargo period under the CC-BY-NC-ND 4.0 license 
Description: The file associated with this record is under a 36-month embargo from publication in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
Appears in Collections:Published Articles, School of Management

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