In this section are expected to be quantitatively and

in this section are expected to be quantitatively and qualitatively similar to the
fi ndings for the pre-crisis subsample. Results of the univariate regression model for
all Bai – Perron subsamples are reported in Table 3.7 . To keep the size of this chapter
manageable, we only brie fl y note the results where they are identical with the
pre-crisis subsample and focus on the differences between the results found in
Tables 3.4 and 3.7 .
Similar to the pre-crisis subsample, noti fi cations of additional information to
Phase I NAPs and the of fi cial EC endorsement of these plans are found to have a
signi fi cant and positive impact on the prices of EUA futures contracts. Leaked
information about Phase II NAPs meaningfully affects only the prices of Phase I
futures.
Unlike the pre-crisis subsample, an insigni fi cant negative market reaction is
documented after of fi cial noti fi cations of Phase II NAPs to the EC and a signi fi cant
negative reaction after additions are made to these plans. The difference between the
pre-crisis and the Bai – Perron subsamples in the events included as noti fi cations of
additional information is that the former has two extra announcements due to its
greater length. These are the additions made by the Romanian and Danish gov-
ernments to their originally submitted plans. The fact that after their removal from
the carbon time series the event category gains statistical signi fi cance suggests that
these two announcements did not yield any abnormal returns and washed away the
abnormal returns associated with the remainder of the noti fi cations.
The rest of the fi ndings are identical to the pre-crisis ones — announcements
about the expansion of the EU ETS lead to signi fi cant increases in EUA prices, the
disclosure of veri fi ed emissions for 2005 is associated with abnormal positive
returns, and fi nally, the inability of COP/MOP participants to agree on a legally
binding, international post-2012 climate policy is re fl ected in the negative abnormal
returns following the 2006 annual meeting in Kenya.
Subsample 2 (27/12/2006 to 21/06/2007)
The short time period which this subsample covers (125 trading days) raises issues
about the reliability of the test statistics. Despite the poor fi t of the regression
(adjusted R -squared is negative for both sets of regression equations at - 0.49 % for
the intraphase EUA futures and - 2.13 % for the interphase ones), we brie fl y
mention the price effects of announcements within this time period. The Bulgarian
council ’ s approval of the Phase II NAP ( “ Leaked information prior to formal
submission to the EC ” ) does not have a statistically signi fi cant impact on the carbon
price over the period. Noti fi cations of additional information to original proposals
seem to have a contradictory impact on the prices of nearest-to-maturity and
near-phase EUA futures contracts. At the same time, additions to an already revised
50 3 Do Regulations Affect Carbon Market Returns and Volatility?

plan (in this subsample, the announcement refers to the Lithuanian revised plan) are
associated with negative abnormal returns in both futures price series. All in all, the