论文信息 - Missing trader fraud on the emissions market

Missing trader fraud on the emissions market

The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the consequences on its econometric features.

Dominique Guegan | Marius-Cristian Frunza | Fabrice Thiebaut

[1] S. Ross. The arbitrage theory of capital asset pricing , 1976 .

[2] Countering cross‐border VAT fraud: the Bulgarian experience , 2007 .

[3] M. Keen,et al. VAT Fraud and Evasion: What Do We Know, and What Can Be Done? , 2007, SSRN Electronic Journal.

[4] Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes , 2010 .

[5] R. Parsche,et al. Measurement of Value Added Tax Evasion in Selected EU Countries on the Basis of National Accounts Data , 2001 .

[6] F. Dunbar,et al. Fraud on the Market Meets Behavioral Finance , 2005 .

[7] Richard Thompson Ainsworth,et al. Carousel Fraud in the EU: A Digital VAT Solution , 2006 .