我国碳排放权交易市场与股票市场的关联:基于非线性Granger因果检验与非平衡面板模型的实证分析

碳排放权交易市场作为金融市场的一部分,与股票市场有着一定的联动性.我国在2017年底开启全国性碳排放交易市场,其关联必将引起越来越多的关注.本文一方面通过线性Granger因果检验与非线性Granger因果检验综合检验各碳交易试点地区的碳收益率与股票市场整体的相关性,研究结果发现只有广东、天津的碳收益与深证综指和湖北与上证综指之间存在单向的Granger因果关系,而北京、上海、广东与上证综指、深证综指存在双向或单向的非线性Granger因果关系;另一方面,通过对各碳排放权交易试点地区的价格、收益率与试点区域股票市场的相关性进行非平衡面板数据的实证分析,发现碳排放权交易试点地区与其区域股市在长期、短期上都存在显著的关联性.

Relationship between Carbon Emissions Trading and Stock Market of China: A Study Based on Nonlinear Granger Causality Test and Unbalanced Panel Model

As a part of the financial market, carbon emissions trading market, has a certain degree of association with the stock market. By the end of 2017, China will open the national carbon emissions trading market, and therefore the study of this association will attract more and more attention. On the one hand, this article comprehensively examines the overall correlation between the yield of each carbon trading pilot and the stock market by the linear correlation Granger Causality test and nonlinear Granger Causality test. The result is that there is a unidirectional Granger Causality between the yield of the Guangdong, Tianjin Emissions Exchange and Shenzhen New Composite Index, the Hubei Emissions Exchange and the Shanghai Composite Index. And meanwhile, there are unidirectional and bidirectional Granger Causalities between the yield of Beijing, Shanghai, Guangdong Emissions Exchange and the Stock Composite Indexes. On the other hand, by analyzing the prices and yield unbalanced panel data of each emissions exchange and its regional stock markets, found a significant association in the long-term, short-term there.