We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
WPŁYW SYSTEMU EU ETS NA WARTOŚĆ RYNKOWĄ POLSKICH PRZEDSIĘBIORSTW ENERGETYCZNYCH - WNIOSKI Z MODELI MARKOWA.
- Authors
Włodarczyk, Aneta
- Abstract
The aim of this paper is to assess the impact of the EU ETS on the market value of Polish energy companies quoted in the Warsaw Stock Exchange. The empirical analysis is based on the estimation results of Markov-switching models with GARCH structure for the periods of Phase II and III of the EU ETS. Risk of market prices of carbon dioxide emission allowances is taken into account in this approach. The periods of high volatility of market value of Polish energy companies are identified and compared to periods of important changes in rules of the EU ETS functioning.
- Subjects
ENERGY industries; ENERGY industries &; the economy; GARCH model; WARSAW Stock Exchange; MARKOV processes; RISK assessment
- Publication
Scientific Papers of Silesian University of Technology. Organization & Management / Zeszyty Naukowe Politechniki Slaskiej. Seria Organizacji i Zarzadzanie, 2016, Issue 96, p491
- ISSN
1641-3466
- Publication type
Article