The aim of this study is a close analysis of interdependencies between certain energy markets (e.g. the markets for crude oil, coal, gas or electricity) and the market for European emissions allowances. The results show if and how particular factors influence price formation of CO2 certificates, and if and how the price of CO2 certificates affects the energy markets. Our results allow for conclusions on (1) the pass-through of CO2 certificates on energy prices, (2) spillover effects (or contagion effects) between these markets, and on (3) information efficiency of the European CO2 allowances market (regarding the speed of price adaptation after energy price shocks). The study will also analyse if, and under what circumstances, CO2 certificates are a sensible addition to the portfolio mix.