Abstract
We study structural breaks in the European Union Trading System's emission allowance price process during Phase II and Phase III, covering the years 2008 to 2016. We find that there is a structural break between Phase II and Phase III. However, there are several regimes within each of these phases. We find that the high-volatility regimes usually exhibit negative average returns, whereas the low-volatility regimes usually exhibit zero or positive average returns.
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