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| Mohamed Amine Boutaba |
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| ''Investigating efficiency in the U.S sulfur
dioxide permit market'' |
| ( 2009, Vol. 29 No.2 ) |
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| This paper constitutes –to our best knowledge– the first empirical
analysis investigating long-run and short-run efficiency in the U.S
sulfur dioxide (SO2) permit futures market with respect to its ability
to unbiasedly predict future spot prices, using cointegration and
error-correction models. Empirical results show that the market is
inefficient, suggesting the presence of profitable arbitrage
opportunities among U.S SO2 permit prices. In light of our findings,
we recommend that market actors consider warily the information
incorporated in SO2 futures prices.
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| Keywords: U.S SO2 permit market, market efficiency, cointegration, Error correction model. |
JEL: Q5 - Environmental Economics: General
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| Manuscript Received : Mar 04 2009 | | Manuscript Accepted : Jun 05 2009 |
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