试论我国碳排放权期货市场的构建

随着全球温室效应和气候变暖问题的日益严重,二氧化碳的减排越来越受到了人们的重视,以二氧化碳排放权为标的的国际碳排放权交易市场应运而生。期货市场具有价格发现、套期保值等功能,对于发展迅猛的碳排放权交易市场来说,建立碳排放权期货市场有重要的意义。本文首先简要介绍碳排放权交易市场,接着阐述我国建立碳排放权期货市场的必要性,然后分析我国建立碳排放权期货市场的可行性,最后提出我国开展碳排放权期货交易的设想。     

借鉴国外经验构建我国碳期货市场运行机制

<正>在中国碳期货市场运行机制的发展中,应该结合先进国家的经验,制定一套适合中国实际的、对经济发展起到促进作用的碳期货市场法律体系,将碳排放权交易放在法律法规的框架下,保证碳期货市场交易的公平性。如今,全球气候变暖已经成为一个重大的国际问题,引起了各国的高度重视。应对全球气候变暖,最重要的就是减少二氧化碳的释放量。作为一种市场化的方式,碳排放权交易已经被证实是目前最高效的节能减排方式,因此,近年来,碳排放权交易市场快速成长起来。在可以预期的将来,世界上主要国家和区域的经济发展和竞争都会以“低碳经济”为中心,因此,建立起自己的标准,才能更好地进行产业结构的优化和升级。     

碳排放权会计核算和信息披露问题研究 ——基于《碳排放权交易有关会计处理暂行规定》

随着全国碳排放权交易市场的正式开启,我国碳交易市场日益活跃,碳交易规模和流动性大大增强,目前执行的《碳排放权交易有关会计处理暂行规定》在理论建构和实务规范上暴露出明显的不足,如何进一步完善我国碳排放权会计核算成为值得思考的问题.本文在梳理国际碳排放权会计核算理论与实践的基础上,紧密结合我国碳排放权交易市场现状,对碳排放...     

交易保证金变动对我国期货市场流动性及波动性影响的实证研究

该文以国内三大期货交易所的几大交易品种为例,分析最低交易保证金的变动对期货市场流动性的影响,同时对是否能够通过降低最低交易保证金提高交易量以及是否能够通过提高最低交易保证金来降低价格波动进行了研究.研究结果显示:保证金变动对期货市场换手率、成交量的影响不大,但对期货合约持仓量的影响显著;保证金与期货市场波动之间关系呈现出弱相关的关系.因此本文认为降低最低交易保证金无法有效扩大交易量和提高市场流动性,调高期货保证金也无法有效抑制期货价格的波动.     

碳排放权会计核算和信息披露问题研究 ——基于《碳排放权交易有关会计处理暂行规定》

随着全国碳排放权交易市场的正式开启,我国碳交易市场日益活跃,碳交易规模和流动性将大大增强,目前执行的《碳排放权交易有关会计处理暂行规定》在理论建构和实务规范上暴露出明显的不足,如何进一步完善我国碳排放权会计核算成为值得思考的问题.通过梳理国外碳排放权会计核算理论与实践,再结合我国碳排放权交易市场的开启现状,对我国碳排放...     

中国期货市场流动性成本研究——以棉花为例

根据郑州棉花期货市场日内交易高频数据,首先基于Thompson-Waller模型测度了棉花期货市场不同交割月份期货合约的流动性成本大小。实证研究表明:不同合约流动性成本大小受交易量和合约距交割期时间长短的影响,除此之外还有其他因素影响流动性成本,并且棉花期货市场符合萨缪尔森假说;而后以买卖价差代替流动性成本,根据LSB模型考察了流动性成本的日内变化特征,实证研究显示流动性成本中的信息不对称成分、指令处理成分、指令持续成分呈现明显的日内变化特征。     

我国碳交易市场发展的制约因素及路径选择

面对日益增大的减排压力,中国作为发展中减排大国,建立碳交易市场势在必行。目前,中国发展碳交易市场存在金融参与不足,减排区域分割特性明显,在国际碳交易市场中缺乏定价权,中介服务能力欠缺和制度不规范等制约因素。借鉴发达国家碳交易市场的发展经验,本文提出了如下发展中国碳交易市场的路径:首先,设定碳排放权限额,确保碳排放权的非公共物品化;其次,依托现有排污权交易市场开展碳排放权交易,建立碳排权现货与期货市场;第三,明确政府定位,完善碳交易市场监督与管理。     

碳排放交易的会计处理与披露的探讨

作为减少温室气体排放的有力措施之一,碳排放权交易越来越受到世界各国的关注并取得了重大发展。文章通过对碳排放权交易产生与发展的历程回顾,对碳排放权交易的现状进行分析,并对我国碳排放相关问题提出建议。     

市场激励型环境规制可以推动企业技术创新吗？——基于中国碳排放权交易机制的自然实验

提高环境标准以推进企业低碳环保转型是供给侧结构性改革的重要内容。在众多环境规制的政策工具中,以市场激励为导向的排放权交易机制在西方国家得到了较为广泛的认可与应用,但是否同样适用于尚处在转轨期的新型中国市场还有待进一步检验。本文基于中国2013年开始试点实施的碳排放权交易机制,考察了市场激励型的环境规制对中国企业技术创新的影响。研究发现:碳排放权交易机制的实施显著推动了企业的技术创新,且当碳市场的流动性程度越高,该市场激励型环境规制对企业技术创新的推动作用更加明显。但企业成本转嫁能力会在一定程度上削弱该环境规制的积极影响,当企业所承受的产品市场竞争程度更低、企业对客户和供应商的议价能力更高时,碳排放权交易机制对企业技术创新的推动作用相对降低。综上,本文的研究不仅从市场激励的角度丰富了环境规制与企业技术创新的相关文献,同时也为中国碳排放权交易实施的政策效果提供了微观证据,研究结论可为后续在全国范围内统一推进碳排放权交易市场建设提供政策参考。     

碳排放权交易会计问题研究

低碳经济模式已成为缓解温室效应的重要全球性战略选择。低碳经济模式下,碳排放权交易作为一种新的商品交易形式将得到迅速的发展。碳排放权交易是目前最有效的减排机制,也必将是今后中国低碳经济的必选模式。本文就碳排放权会计的确认、计量与披露问题进行研究。     

Changing the Size of a Futures Contract: Liquidity and Microstructure Effects

We analyze the relation between contract size and liquidity using data from the respecification of Sydney Future Exchange's (SFE) Share Price Index (SPI) and 90-day Bank Accepted Bill (BAB) futures contracts. Respecification of SPI and BAB contracts presents a unique opportunity to investigate the effects of a change in futures contract size. SFE decreased the size of SPI futures by a factor of four while increasing its minimum tick. The BAB contract was doubled in size with the minimum tick size left unchanged. We find, after controlling for market factors, that the respecification of the SPI futures resulted in higher trading volume, while that of BAB futures decreased trading volume. The results regarding spreads are ambiguous. Based on two cases investigated, we conclude that decreasing the futures contract size was effective in terms of enhancing liquidity while increasing the size resulted in a reduction in liquidity.     

2014年6月境外人民币离岸市场综述

2014年6月,境外人民币市场总体保持平稳发展势头。主要特点是：境外人民币资金池继续扩大;Hibor人民币隔夜拆借品种大幅上涨,境内外利差出现倒挂;境外人民币债券发行量较上月有所回落;香港美元兑人民币可交割即期汇价持续走低,境内外美元兑人民币远期汇价震荡下行,其中可交割品种汇价差异略有下降;香港交易所人民币期货交投活跃度略降,CME人民币期货日均交易额有所上升。     

Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets

Abstract:  This study investigates how limit orders affect liquidity in a purely order-driven futures market. Additionally, the possible asymmetric relationship between market depth and transitory volatility in bull and bear markets and the effect of institutional trading on liquidity provision behavior are examined as well. The empirical results demonstrate that subsequent market depth increases as transient volatility increases in bull markets. Market depth exhibits significantly positive relationship to subsequent transient volatility in bull markets. Additionally, although trading volume positively influences transient volatility in bull markets, no such relationship exists in bear markets. Liquidity provision decreases when institutional trading activity intensifies during bear markets. Thus, liquidity provision for limit orders differs between bull and bear markets.     

Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market

We provide robust evidence of the impact on spot market liquidity and the pricing efficiency of FBM-FKLI index futures following the introduction of lower tick sizes for the stocks listed in the Bursa Malaysia. Our findings show a significant increase in unexpected trading volume and the speed of mean reversion of the futures mispricing. We find that the increase in the unexpected trading volume of the underlying stocks helps in reducing inter-market price discrepancies. The findings offer new evidence that lowering of tick sizes improves pricing efficiency in the Malaysian futures market.

     

Understanding the impact of monetary policy announcements: The importance of language and surprises

Monetary policy announcements have a significant impact on financial market liquidity. This study provides a novel perspective on the factors driving this relationship in the market for 10-year Treasury note futures: Target rate surprises and the complexity of the monetary policy statement language are important determinants. Differences of opinion resulting from interpretation of complex language appear to result in more trading volume despite relatively low levels of liquidity (a negative liquidity-volume relationship), while large target rate surprises reduce trading activity (a positive liquidity-volume relationship). The dynamic changes over time, as unconventional polices are adopted by monetary authorities and, high frequency traders become more pervasive. Central bankers may aid market liquidity by minimizing surprises, and issuing statements that are easier to understand (with shorter sentences and more familiar words).     

The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics

The Chicago Mercantile Exchange reduced the size of its S&P 500 futures contract when it reduced the multiplier from 500 to 250 and increased the minimum tick from 0.05 to 0.10 on November 3, 1997. This is a rare major change in a very successful contract's specifications. We analyze effects of this change on liquidity and market dynamics in both a univariate and a multivariate context. The main contribution of this study is the use of multiple intervention analysis with various dynamic response functions to examine the effects of the split while taking into account several other major market events surrounding it. A multivariate analysis is also used to test the impact of the split using a structural model of liquidity and market dynamics. Empirical findings offer limited support for the hypotheses that smaller contract size resulted in smoother trading, and that more public customers trade the S&P 500 futures contract following its split. We observe a reduction in the average transaction size as well as a temporary narrowing of the bid-ask spreads, but no significant change in volatility that can be attributed to the split. We do not find any significant and lasting impact on other liquidity and market variables.     

The price discovery of day trading activities in futures market

Access to information is necessary for market transparency. However, contrary to trading volume and open interest, information related to day trading activities is rarely available. By incorporating unexplored day trading volume in the literature, this paper demonstrates that both the expected open interest and expected day trading volume are consistently and positively correlated with returns, but that one-lagged day trading volume is negatively correlated with futures returns. Meanwhile, both expected and unexpected day trading volume are negatively correlated with volatility, suggesting that arbitrage activities related to unexpected day trading volume may accelerate the movement of futures prices to a new equilibrium. Moreover, open interest provides liquidity but increases volatility. Finally, we strongly suggest that day trading transaction information be released by futures exchanges to achieve greater transparency.     

On Speculation, Index Futures Markets, and the Link Between Market Volatility and Investor Welfare

This paper develops a trading model that incorporates informed speculators as well as investors who possess incorrect expectations about asset values. It is shown that the introduction of an index futures market, by stimulating additional misinformed speculation, increases market liquidity and adversely affects price variability and efficiency in the underlying stock markets. An analysis of the welfare of uninformed hedgers suggests that the relationship between uninformed investor welfare and two key parameters that dominate policy discussions, market liquidity and price variability, is quite tenuous.     

Investor Sentiment,Trading Behavior and Informational Efficiency in Index Futures Markets

This paper shows that traders in index futures markets are positive feedback traders—they buy when prices increase and sell when prices decline. Positive feedback trading appears to be more active in periods of high investor sentiment. This finding is consistent with the notion that feedback trading is driven by expectations of noise traders. Consistent with the noise trading hypothesis, order flow in index futures markets is less informative when investors are optimistic. Transitory volatility measured at high frequencies also appears to decline in periods of bullish sentiment, suggesting that sentiment‐driven trading increases market liquidity.