基于变结构Copula函数的碳金融市场波动溢出效应研究

发布时间：2018-05-10 17:11

本文选题：碳金融 + 波动溢出　；参考：《广东商学院》2013年硕士论文

【摘要】：随着全球金融一体化的发展，碳金融市场价格走势同全球经济形势逐渐趋于一致。近几年金融危机频发，全球金融市场价格普遍大幅下跌，碳金融市场亦未能幸免，碳金融市场的代表性产品CER(核证减排单位)价格下跌、波动幅度加剧、交易量萎缩。根据波动溢出理论，金融市场的波动不仅受到自身历史波动程度的影响，还可能受到其它金融市场的波动制约。从表象看碳金融市场很有可能受到其它金融市场波动溢出的影响，但国内还无相关实证结论证实。同时针对传统的线性理论和波动理论对波动溢出效应研究的缺陷，Copula函数开始引入波动溢出效应的研究，为波动溢出效应分析研究提供一种新的有效工具。为了检验国际金融市场对碳金融市场波动溢出效应是否存在，并尝试新的波动溢出研究方法，本文选取股票、汇率和石油三个市场共十三组数据，利用变结构Copula理论，，分析三个金融市场对CER市场的波动溢出效应。实证结果表明，三个金融市场对CER市场普遍存在波动溢出效应，只是波动溢出时间和强度各有不同。股票市场同CER市场的波动溢出效应第一次发生的时间大多数在2008年8月份以后，就是美国次贷危机的高峰期间，Z统计量绝对值相对较大说明波动溢出效应强烈，但2010年欧债危机期间股票市场对CER市场的波动溢出效应检查结果相比次贷危机时期并不突出。汇率市场同CER市场的第一次波动溢出效应发生时间普遍要早于股票市场，而且对欧债期间变结构点大多通过了Z统计检验，说明汇率波动信息能够快速传递到CER市场且持续时间比较长，但从Z统计量绝对值来看波动溢出强度不如股市。原油市场除了WTI其它两个对CER市场的波动溢出效应则并不显，其中OPEC对CER的变点结构检测结果只有一个显著，说明几乎不存在波动溢出效应。
[Abstract]:With the development of global financial integration, the price trend of carbon financial market is gradually consistent with the global economic situation. In recent years, with the frequent financial crisis, the prices of global financial markets have fallen sharply, and the carbon financial markets have not been spared. The prices of CERs (certified emission reduction units), the representative products of the carbon financial markets, have fallen, the volatility has intensified, and the volume of transactions has shrunk. According to the theory of volatility spillover, the volatility of financial market is not only affected by its own historical fluctuation degree, but also by the fluctuation of other financial markets. The carbon financial market is likely to be affected by volatility spillovers from other financial markets, but there is no empirical evidence in China. At the same time, aiming at the defects of traditional linear theory and volatility theory in the research of volatility spillover effect, the Copula function began to introduce the research of volatility spillover effect, which provides a new effective tool for the analysis of volatility spillover effect. In order to test the existence of volatility spillover effect of international financial market on carbon financial market, and to try a new research method of volatility spillover, this paper selects thirteen groups of data from stock, exchange rate and oil markets, and uses variable structure Copula theory. This paper analyzes the volatility spillover effects of three financial markets on CER market. The empirical results show that volatility spillover effect exists in the three financial markets on CER market, but the time and intensity of volatility spillover are different. The first time of volatility spillover effect between stock market and CER market is after August 2008, and the absolute value of volatility spillover effect is relatively large during the peak period of the subprime mortgage crisis in the United States, which indicates that the volatility spillover effect is strong. However, during the European debt crisis in 2010, the volatility spillover effect of the stock market to the CER market was not prominent compared with the subprime mortgage crisis. The first volatility spillover effect between the exchange rate market and the CER market is generally earlier than that in the stock market, and most of the variable structure points during the period of European debt have passed the Z statistical test. It shows that the exchange rate fluctuation information can be transmitted to the CER market quickly and for a long time, but from the absolute value of Z statistics, the volatility spillover intensity is not as strong as the stock market. The volatility spillover effect of OPEC on CER market is not obvious except that of WTI, and there is only one significant change point structure detection result of CER by OPEC, which indicates that there is almost no volatility spillover effect.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F831.51

【引证文献】