Abstract: The Efficiency Analysis of the European CO2 Futures MarketThe European Union Emissions Trading System(EU ETS)is the main international carbon trading market, and European Union CO2 allowances(EUAs)are traded in this market with increasing intensity. In order to help the participants avoid the market price risk better, we should analyze the time range of the effective market and the price discovery mechanism of EUA futures market and spot market. For this purpose, the paper provided the unit root test and the cointegration test of the EUA futures market for the period 2009—2011,and found that the EUA futures market is efficient within one month. Furthermore, it also found that the impact of the price will continue three months by establishing a vector error correction model(VECM)which is suitable for the efficient market.