EU carbon price volatility from the COVID-19 pandemic

Saito, Amane; Tanizaki, Hisashi

doi:https://doi.org/10.1007/s43546-025-00955-z

EU carbon price volatility from the COVID-19 pandemic

Saito, Amane; Tanizaki, Hisashi

SN Business and Economics, 2025, 5(197)

アクセス数:38件（2026-02-16 01:32 集計）

固定URL: https://hdl.handle.net/11094/103624

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タイトル	EU carbon price volatility from the COVID-19 pandemic
著者	ORCID 0000-0003-0257-2187 0000-0003-0257-2187 Scopus Author ID 59587222700 59587222700 著者名 Saito, Amane
著者	NRID 1000060248101 1000060248101 ORCID 0000-0003-0074-9268 0000-0003-0074-9268 researchmap permalink read0034558 read0034558 Scopus Author ID 7004095028 7004095028 著者名 Tanizaki, Hisashi
キーワード等	Carbon price
	COVID-19
	ESG
	EU-ETS
	EUA
	SV model
JEL分類コード (JEL)	G10
JEL分類コード (JEL)	P28
内容	Saito, A., Tanizaki, H. EU carbon price volatility from the COVID-19 pandemic. SN Business and Economics 5, 197 (2025).
内容	This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/s43546-025-00955-z
抄録	This study investigates the key factors influencing European Union Allowances (EUA) price volatility, with a particular focus on the sharp increase in prices after 2021. EUA is traded in the European Union Emissions Trading System (EU-ETS), which plays a central role in European climate policy. Understanding price dynamics is therefore critical for both market participants and policymakers. Using a stochastic volatility (SV) model, the analysis incorporates two categories of explanatory variables: market anomalies such as leverage effect and holiday effect and market structure, including trading activity and market depth. In addition, it evaluates the impacts of three recent macro-financial developments: (1) Environmental, Social and Governance (ESG) investment, (2) the COVID-19 pandemic, and (3) monetary easing by the European Central Bank (ECB). The results show that market anomalies significantly contribute to volatility. While ESG investment has a limited effect, both the pandemic and monetary easing have had substantial impacts on EUA price volatility.
出版者	Springer Nature
収録物名	SN Business and Economics
巻(号)	5(197)
刊行年月	2025-11-05
言語	英語
ハンドルURL	https://hdl.handle.net/11094/103624
eISSN	26629399
関連情報 (isVersionOf)	DOI (出版社版) https://doi.org/10.1007/s43546-025-00955-z
アクセス権	embargoed access
権利情報	The full-text file will be made open to the public on 5 November 2026 in accordance with the publisher's policy.
出版タイプ	Accepted Manuscript
カテゴリ	学術雑誌論文 Journal Article

資源タイプ	学術雑誌論文
ローカル資源タイプ	学術雑誌論文
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	SN Business and Economics. 2025, 5(197)
DC.title	EU carbon price volatility from the COVID-19 pandemic
DC.creator	Saito, Amane
DC.creator	Tanizaki, Hisashi
DC.publisher	Springer Nature
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2025-11-05
DC.identifier	https://doi.org/10.1007/s43546-025-00955-z
DC.subject	Carbon price
	COVID-19
	ESG
	EU-ETS
	EUA
	SV model
DC.description	Saito, A., Tanizaki, H. EU carbon price volatility from the COVID-19 pandemic. SN Business and Economics 5, 197 (2025).
DC.description	This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/s43546-025-00955-z
DCTERMS.abstract	This study investigates the key factors influencing European Union Allowances (EUA) price volatility, with a particular focus on the sharp increase in prices after 2021. EUA is traded in the European Union Emissions Trading System (EU-ETS), which plays a central role in European climate policy. Understanding price dynamics is therefore critical for both market participants and policymakers. Using a stochastic volatility (SV) model, the analysis incorporates two categories of explanatory variables: market anomalies such as leverage effect and holiday effect and market structure, including trading activity and market depth. In addition, it evaluates the impacts of three recent macro-financial developments: (1) Environmental, Social and Governance (ESG) investment, (2) the COVID-19 pandemic, and (3) monetary easing by the European Central Bank (ECB). The results show that market anomalies significantly contribute to volatility. While ESG investment has a limited effect, both the pandemic and monetary easing have had substantial impacts on EUA price volatility.
DC.rights	The full-text file will be made open to the public on 5 November 2026 in accordance with the publisher's policy.
DC.format	103624
citation_title	EU carbon price volatility from the COVID-19 pandemic
citation_author	Saito, Amane
citation_author	Tanizaki, Hisashi
citation_publisher	Springer Nature
citation_language	英語
citation_date	2025-11-05
citation_journal_title	SN Business and Economics
citation_volume	5
citation_issue	197
citation_doi	https://doi.org/10.1007/s43546-025-00955-z
citation_public_url	https://hdl.handle.net/11094/103624

EU carbon price volatility from the COVID-19 pandemic

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