我国八家碳排放交易市场价格波动性分析
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摘要
湖北碳排放交易市场和福建碳排放交易市场已经运行了一年多的时间。学者对这两个碳排放交易市场研究相对较少。采用ARCH系列模型对八家市场进行比较研究,研究发现湖北碳排放交易市场和福建碳排放交易市场与其他市场同样存在价格波动出现持续性、非对称性和对市场消息比较敏感的特点,还存在与其他六家交易市场发展程度差异较小的特点。这说明目前八家碳排放交易市场处于初步发展阶段,可以通过政府积极培育碳排放交易市场、相关部门出台法律法规维持市场秩序、碳排放市场管理者提升市场服务质量和企业增强参与碳排放交易意识等措施促进发展。
Hubei carbon emission trading market and Fujian carbon emission trading market have been in operation for more than a year. Scholars have done relatively little research on these two carbon emission trading markets. By comparing eight markets with ARCH series models, we find that there are persistence, asymmetry and sensitivity of price fluctuation in Hubei carbon emission trading market and Fujian trading market as well as other markets. Besides, there are small differences between them. This shows that the eight carbon emissions trading markets are in the initial stage of development. They can promote development by actively cultivating the carbon emissions trading market by the government,promulgating laws and regulations by relevant departments to maintain market order, improving the quality of market services and enhancing the awareness of enterprises to participate in carbon emissions trading.
Hubei carbon emission trading market and Fujian carbon emission trading market have been in operation for more than a year. Scholars have done relatively little research on these two carbon emission trading markets. By comparing eight markets with ARCH series models, we find that there are persistence, asymmetry and sensitivity of price fluctuation in Hubei carbon emission trading market and Fujian trading market as well as other markets. Besides, there are small differences between them. This shows that the eight carbon emissions trading markets are in the initial stage of development. They can promote development by actively cultivating the carbon emissions trading market by the government,promulgating laws and regulations by relevant departments to maintain market order, improving the quality of market services and enhancing the awareness of enterprises to participate in carbon emissions trading.
引文
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[2]Mansanet-Bataller M,Pardo A,Valor E.CO2prices,energy and weather[J].Energy,2007(3):73-92.
[3]Paolella M S,Taschini L.An econometric analysis of emission allowance prices[J].Journal of Banking&Finance,2008(10):22-32.
[4]Daskalakis G,Psychoyios,D,Markellos R N.Modeling CO2emission allowance prices and derivatives:Evidence from the European trading scheme[J].Journal Banking&Finance,2009(7):30-41.
[5]Sevi B,Chevallier J.On the realized volatility of the ECX CO2emissions 2008 futures contract:Distribution,dynamics and forecasting[J].Annals of Finance,2011(7):1-9.
[6]Palao F,Pardo A.Assessing Price Clustering in European Carbon Markets[J].Applied Energy,2012(4):51-56.
[7]Eugenia Sanin,MaríViolante F.Understanding Volatility Dynamics in the EUETS Market[J].Energy Policy,2015(4):112-123.
[8]张跃军,魏一鸣.国际碳期货价格的均值回归:基于EUETS的实证分析[J].系统工程理论与实践,2011(2):214-220.
[9]张玉娟.基于随机波动模型的碳价格波动性研究[D].芜湖:安徽工程大学,2013.
[10]吕勇斌,邵律博.我国碳排放权价格波动特征研究——基于GARCH族模型的分析[J].价格理论与实践,2015(12):62-64.
[11]周建国,刘宇萍,韩博.我国碳配额价格形成及其影响因素研究——基于VAR模型的实证分析[J].价格理论与实践,2016(5):85-88.
[12]王扬雷.碳金融交易市场的效率及其溢出效应研究[D].长春:吉林大学,2016.
[13]张婕,孙立红,邢贞成.中国碳排放交易市场价格波动性的研究——基于深圳、北京、上海等6个城市试点碳排放市场交易价格的数据分析[J].价格理论与实践,2018(1):57-60.