Essays on CO2.

Summary The main objective of this thesis entitled "Essays on CO2" is to study, from a financial point of view, the functioning of the European Union Emissions Trading Scheme. In accordance with the Kyoto Protocol, the European Union set up the first phase of the European Union Emission Trading Scheme (EU ETS) in 2005, which allowed for the launch of trading on organized spot and forward markets. The first chapter of this thesis presents the main information concerning the implementation of emissions trading around the world. The objective of the second chapter is to analyze the determinants of allowance prices during the first year of the EU ETS. The prices of the most significant energy variables in Europe as well as indexes of non-linear climate variables have a statistically significant influence on allowance prices. The third chapter consists of studying the impacts of the institutional regulation of the market on the price of CO2 allowances, both on the returns and on the variance. Here we find an influence on the returns of the CO2 allowance, but not on the volatility. This leads us to believe that there was an information leakage before the official announcement of the European Commission. Finally, the last chapter studies the portfolio diversification possibilities that emission allowances can offer to the different investors present in the market.