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The Influence of Twitter Sentiment in the EU Emissions Trading Scheme


Peter Deeney, Mark Cummins, Michael Dowling, Alan Smeaton

Publication Type: 
Refereed Conference Meeting Proceeding
We compare the sentiment of Tweets about climate change and the EU Emissions Trading Scheme (EU ETS) with high frequency price data for EU Emission Allowances (EUAs), energy and financial market data. Our first finding is that the sentiment of Tweets specifically concerned with the EU emissions market can help to predict EUA prices one day ahead. Second we find that while energy commodity prices can account for some of the movement of contemporaneous EUA prices they are not useful at predicting these changes. This indicates that the emissions market does assimilate new information from the energy market quickly but does not pay attention to market sentiment. Our third finding is that we do not find that the Twitter sentiment concering climate change (rather than specifically the carbon market) correponds with EUA returns. This indicates that the principal means by which the EU addresses climate change, (the EU ETS), does not seem to be of interest to Europeans tweeting about climate change, but sentiment measured from Tweets about carbon trading and the EU ETS does contain useful information.
Conference Name: 
ECOMFIN2016: Energy and Commodity Finance Conference
Proceedings of ECOMFIN2016: Energy and Commodity Finance Conference
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Publication Date: 
Conference Location: 
Research Group: 
Dublin City University (DCU)
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