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Abstract The wandering weekday effect of the international carbon market is a neglected topic. This paper investigates the wandering weekday effect of the international carbon market under the moderation effect… Click to show full abstract
Abstract The wandering weekday effect of the international carbon market is a neglected topic. This paper investigates the wandering weekday effect of the international carbon market under the moderation effect of market trend. Our results show that there is a positive wandering Monday and negative wandering Tuesday effect when the market is rising, and a negative wandering Monday and positive wandering Tuesday effect when the market is falling. Further studies find that the settlement procedures, information disclosure and the determinants of carbon prices are stronger reasons of the wandering weekday effect. The conclusion provides new evidence for the study of market-efficiency in international carbon market.
Journal Title: Finance Research Letters
Year Published: 2019
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