中国碳排放权交易市场收益率波动性特征研究

以北京、上海、广东、湖北和重庆碳排放权交易市场为研究对象,运用GARCH族模型研究中国碳排放权交易市场收益率波动性特征。结果表明,5个碳排放权交易市场收益率的波动聚集性、持续性表现不完全一致;北京、上海和重庆存在负向的杠杆效应,广东和湖北不存在杠杆效应;从波动溢出效应关系看,5个碳排放权交易市场间的整体联动性不强;运用方差比率检验法得出,5个碳排放权交易市场均未达到弱势有效市场。这些特征反映出中国碳排放权交易市场的运行机制仍然存在缺陷,建议加强顶层设计,完善碳排放权交易体系。

On Returns Volatility Characteristics of China s Carbon Emissions Permits Trading Market

This paper took carbon emissions permits trading markets in Beijing,Shanghai,Guangdong,Hubei,and Chongqing as research objects,using GARCH family model to study returns volatility characteristics of China s carbon emissions permits trading market returns.The results showed that the volatility clustering and persistence of returns on the five carbon emissions permits trading markets were not exactly consistent.Negative leverage effects were found in Beijing,Shanghai and Chongqing,but there was no leverage effect in Guangdong and Hubei.From the perspective of the volatility spillover effects,the overall linkage between the five carbon emissions permits trading markets was not strong.According to the variance ratio test,it was concluded that the weak-form efficiency had not been achieved in any one of these five markets.These characteristics reflected that there were still defects in the operation mechanism of China s carbon emissions permits trading market.So it was recommended to strengthen the top-level design and improve the carbon emissions permits trading system.