Maria Mansanet-Bataller
University of Valencia
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Publication
Featured researches published by Maria Mansanet-Bataller.
The Energy Journal | 2007
Maria Mansanet-Bataller; Angel Pardo; Enric Valor
One of the main objectives of the European Union Emission Trading Scheme is the establishment of a market price level for allowances that show to European CO2 emitting installations the environmental impact of their polluting activities. The aim of this paper is to focus on the daily price changes during 2005 in an attempt to examine the underlying rationality of pricing behaviour. Specifically, we study the effect of those weather and non-weather variables that academic and market agents consider as the major determinants of the of CO2 price levels. The results show that the energy sources are the principal factors in the determination of CO2 price levels, and that only extreme temperatures influence them.
Energy Policy | 2011
Maria Mansanet-Bataller; Julien Chevallier; Morgan Hervé-Mignucci; Emilie Alberola
This article studies the price relationships between EU emissions allowances (EUAs) - valid under the EU Emissions Trading Scheme (EU ETS) - and secondary Certified Emissions Reductions (sCERs)--established from primary CERs generated through the Kyoto Protocols Clean Development Mechanism (CDM). Given the price differences between EUAs and sCERs, financial and industrial operators may benefit from arbitrage strategies by buying sCERs and selling EUAs (i.e. selling the EUA-sCER spread) to cover their compliance position as industrial operators are allowed to use sCERs towards compliance with their emissions cap within the European system up to 13.4%. Our central results show that the spread is mainly driven by EUA prices and market microstructure variables and less importantly, as we would expect, by emissions-related fundamental drivers. This might be justified by the fact that the EU ETS remains the greatest source of CER demand to date.
International Journal of Global Energy Issues | 2011
Maria Mansanet-Bataller; Angel Pardo
Since January 2005, the attention on European carbon markets has been increasing and thus the interest in studying the implications of the existence of two new assets in portfolio management. In this article we analyse both the characteristics of the EUAs Phase I and Phase II as a sole investment and the impact of including these two assets, considered separately, in a well-diversified portfolio. In order to control the problems of using historical returns, we have performed this analysis using as expected returns either historical returns or risk-adjusted returns. We find that, although the weights of EUAs are not too important when incorporating the EUAs in an optimal and well-diversified portfolio, the efficient frontier shows an increase in investor possibilities.
international conference on the european energy market | 2009
Maria Mansanet-Bataller; Pilar Soriano
The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. However, no research articles have focused their attention on the volatility transmission between CO2 and energy markets. The aim of this paper is to fill this gap in the literature. Specifically, our particular interest is to examine whether or not conditional volatility is transmitted across those markets since the start the EU ETS. We consider not only non-linearity in the variance of each series but we also allow for the possibility that changes in volatility in one of the markets may spill over to the others. The results show that CO2 is directly affected by its own volatility, and directly and indirectly (through the covariance) affected by the oil and natural gas volatility. Additionally, shocks originated in the CO2 and oil markets have an impact on CO2 volatility. Finally, the behaviour of oil volatility is similar to CO2 volatility in what concerns volatility transmission but this is not the case for natural gas volatility.
international conference on the european energy market | 2014
Julio J. Lucia; Maria Mansanet-Bataller; Angel Pardo
We explore the dynamics of the speculative and hedging activities in futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Carbon Market reveals that (i) Phase II of the EU ETS seems to be the most speculative phase to date and (ii) the highest degree of speculative activity for every single phase occurs at the moment of listing the contracts for the first time. A seasonality analysis identifies a higher level of speculation in the first quarter of each year, related to the schedule of deadlines of the EU ETS. Further analysis confirms that most of the speculative activity each year occurs in the front contract, whereas the hedging demand concentrates in the second-to-deliver futures contract.
Energy Policy | 2010
Jan Horst Keppler; Maria Mansanet-Bataller
Energies | 2008
Maria Mansanet-Bataller; Angel Pardo
The Journal of Energy Markets | 2009
Maria Mansanet-Bataller; Angel Pardo
Energy Policy | 2015
María Eugenia Sanin; Francesco Violante; Maria Mansanet-Bataller
Energy Policy | 2015
Julio J. Lucia; Maria Mansanet-Bataller; Angel Pardo