中国低碳指数收益率波动性及其政策效应研究

发布时间：2018-05-14 19:14

本文选题：中国低碳指数 + 收益率波动性　；参考：《中南大学》2012年硕士论文

【摘要】：《京都议定书》生效以来,碳金融市场开始迅猛发展,最新的预测数据显示,到2020年全球碳排放交易量会达到3.5万亿美元,或将超过石油市场,成为最大的能源交易市场。我国是CDM项目市场上主要的供给国,发展的潜力巨大,目前已开启了五省八市的低碳试点,除了在北京、天津、上海、深圳等地,先后兴建起的交易所有几十家,主要是协助企业进行CDM项目挂牌以及进行自愿减排交易的尝试。为助推我国碳产业定价机制的完善,中证指数有限公司、北京环境交易所、优点资本携手推出了中国低碳指数,为蓬勃发展的清洁能源和科技领域,在资本市场树立了标杆。本文通过对中国低碳指数进行简要介绍和现状分析,发现中国低碳指数波动剧烈,对中国低碳指数收益率序列进行描述性统计和相关的检验后发现,中国低碳指数的收益率序列是平稳的、不存在相关性,且具有0均值、左偏现象、“尖峰厚尾”以及存在ARCH效应等特征。因此运用GARCH类模型对其进行建模,发现各模型的拟合状况都很好,GARCH-M模型要优于GARCH(1,1)模型,且在刻画收益率序列的杠杆效应上,EGARCH(1,1,1)模型优于TARCH(1,1,1)模型。为了探究造成中国低碳指数收益率波动的政策性原因,运用波动点鉴别方法找到中国低碳指数的异常波动点,在异常波动点附近寻找可能引起异常波动的重大政策事件,运用事件研究方法分别从政策事件总体和各事件两个方面研究对中国低碳指数的影响,结果发现重大政策事件对中国低碳指数有显著的影响,且大多为负面影响。根据中国低碳指数的波动特征和存在的政策效应,提出相应的政策建议。
[Abstract]:Since the Kyoto Protocol came into effect, the carbon finance market has begun to grow rapidly, and the latest forecast data show that the volume of global carbon emissions will reach $3.5 trillion by 2020, which could overtake the oil market and become the largest energy trading market. China is a major supplier in the market for CDM projects and has huge potential for development. At present, it has launched low-carbon pilot projects in five provinces and eight cities. In addition to Beijing, Tianjin, Shanghai, Shenzhen and other places, dozens of exchanges have been built one after another. Mainly to assist enterprises in CDM project listing and voluntary emission reduction trading attempts. In order to improve the pricing mechanism of China's carbon industry, China Securities Index Co., Ltd., Beijing Environmental Exchange, the advantages of the capital jointly launched China's low-carbon index, for the vigorous development of clean energy and science and technology, in the capital market has set a benchmark. This paper briefly introduces and analyzes the current situation of China's low carbon index, and finds out that China's low carbon index fluctuates sharply, and makes descriptive statistics and relevant tests on China's low carbon index yield series. The yield sequence of China's low carbon index is stable and has no correlation, and it has the characteristics of zero mean, left deviation, "peak and thick tail" and ARCH effect. Therefore, the GARCH model is used to model it, and it is found that the GARCH-M model is better than the GARCH1 / 1) model, and the model is superior to the TARCHN 1 / 1) model in terms of the leverage effect of the rate of return series. In order to explore the policy reasons that cause the fluctuation of China's low carbon index yield, we use the method of volatility point identification to find the abnormal fluctuation point of China's low carbon index, and look for the major policy event that may cause the abnormal fluctuation near the abnormal fluctuation point. The influence of policy events on China's low carbon index is studied from two aspects of policy events and events. The results show that significant policy events have a significant impact on China's low carbon index, and most of them have negative effects on China's low carbon index. According to the fluctuation characteristics of China's low carbon index and the existing policy effects, the corresponding policy recommendations are put forward.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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