Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr class="thead"><td align="left">Correlation of market noises</td><td align="center">Mean </td><td align="center">Standard deviation</td><td align="center">Maximum </td><td align="center">Minimum </td></tr><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr><td align="left"><span style="width: 31.9625px;"><svg height="11.825" id="M89" style="vertical-align:-3.276pt" version="1.1" viewbox="0 0 31.9625 11.825" width="31.9625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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<g transform="matrix(.012,-0,0,-.012,14.138,11.762)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.012,-0,0,-.012,19.849,11.762)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g><g transform="matrix(.012,-0,0,-.012,25.56,11.762)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g>
</svg></span></td><td align="center">−0.3222</td><td align="center">0.0987</td><td align="center">0.0321</td><td align="center">−0.7470</td></tr><tr><td align="left"><span style="width: 31.9625px;"><svg height="11.825" id="M90" style="vertical-align:-3.276pt" version="1.1" viewbox="0 0 31.9625 11.825" width="31.9625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.675)"><path d="M383 397q0 -32 -35 -49q-12 -6 -23 8q-37 45 -84 45t-90 -71q-40 -65 -40 -167q0 -57 22 -86t59 -29q38 0 81.5 24.5t69.5 51.5l16 -21q-44 -53 -104 -84t-109 -31q-56 0 -89.5 41t-33.5 117q0 61 30 124t79 105q33 28 81 50.5t86 22.5q34 0 59 -15.5t25 -35.5z" id="x1D450"></path></g><g transform="matrix(.017,-0,0,-.017,6.964,7.675)"><path d="M393 379q-9 -16 -28 -29q-15 -10 -23 -2q-19 19 -36 19q-21 0 -52 -38q-57 -72 -82 -126l-40 -197q-23 -3 -75 -18l-7 7q49 196 74 335q7 43 -2 43q-7 0 -30 -14.5t-47 -37.5l-16 23q37 42 82 73t67 31q41 0 15 -113l-11 -50h4q41 71 85 117t77 46q29 0 45 -26
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<g transform="matrix(.012,-0,0,-.012,14.138,11.762)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.012,-0,0,-.012,19.849,11.762)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g><g transform="matrix(.012,-0,0,-.012,25.56,11.762)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g>
</svg></span></td><td align="center">−0.3451</td><td align="center">0.0960</td><td align="center">−0.0291</td><td align="center">−0.7596</td></tr><tr><td align="left"><span style="width: 31.9625px;"><svg height="11.9625" id="M91" style="vertical-align:-3.39066pt" version="1.1" viewbox="0 0 31.9625 11.9625" width="31.9625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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<g transform="matrix(.012,-0,0,-.012,14.138,11.762)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g><g transform="matrix(.012,-0,0,-.012,19.849,11.762)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g><g transform="matrix(.012,-0,0,-.012,25.56,11.762)"><path d="M285 378v-2q65 -13 102 -54.5t37 -97.5q0 -57 -30.5 -104.5t-74 -75t-85.5 -42t-72 -14.5q-31 0 -59.5 11t-40.5 23q-19 18 -16 36q1 16 23 33q13 10 24 0q58 -51 124 -51q55 0 88 40t33 112q0 64 -39 96.5t-88 32.5q-29 0 -64 -11l-6 29q77 25 118 57.5t41 84.5
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</svg></span></td><td align="center">−0.3704</td><td align="center">0.0958</td><td align="center">−0.0131</td><td align="center">−0.7662</td></tr><tr><td align="left"><span style="width: 31.9625px;"><svg height="11.825" id="M92" style="vertical-align:-3.276pt" version="1.1" viewbox="0 0 31.9625 11.825" width="31.9625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg></span></td><td align="center">−0.4580</td><td align="center">0.0937</td><td align="center">−0.1914</td><td align="center">−0.8179</td></tr><tr><td align="left"><span style="width: 31.9625px;"><svg height="11.9625" id="M93" style="vertical-align:-3.39066pt" version="1.1" viewbox="0 0 31.9625 11.9625" width="31.9625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg></span></td><td align="center">−0.5369</td><td align="center">0.0865</td><td align="center">−0.2759</td><td align="center">−0.8539</td></tr><tr class="table-tr"><td colspan="5"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Statistical description of conditional correlation of market noises between spot and futures markets. 

Discrete Dynamics in Nature and Society

tab2

Table 2

Table 2: Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory 