Weak-form Efficiency of Carbon Trading Markets: Evidence from Bluenext Spot Market

ABSTRACT: Reducing the greenhouse gases is urgent need in this century, to see this target several cap and trade markets are working around the world trading emission allowances. Bluenext market is the largest and most liquide one. The aim of this study is to investigate the weak-form efficiency of this market. The EUAs ( European Union Allowances) have been traded in two phases since 2005 in Bluenext market. Related to several structural breaks in the time series 4 parametric tests employed to investigate the stationarity of data. ADF test, the most routin method, showed that the time series is non-stationary. The three other tests namely Perron, ZA and KPSS tests the data considering its structural breaks and confirmed the first test and showed that the time series has a unit root and follows the Random Walk hypothesis, hence the market indicate the Efficient Market Hypothesis. Keywords: cap and trade markets; weak-form efficient market hypothesis; Bluenext; structural breaks; stationary; unit root; Random Walk hypothesis. ……………………………………………………………………………………………………………………………………………………………………………………………………………………