中国主要碳市场溢出效应研究

发布时间：2018-04-13 15:41

本文选题：碳市场 + 均值溢出效应　；参考：《合肥工业大学》2017年硕士论文

【摘要】：为减少温室气体排放,自2013年以来,中国已先后建立了七个区域性碳市场。研究中国主要碳市场之间的溢出效应,有助于发现在碳市场运行初期起价格引导作用的区域市场,为其它地区碳市场的发展和全国碳市场的建立提供参考。本文首先对七个碳市场的发展现状进行了详细的分析比较。由于重庆、上海、天津和北京四个碳市场数据不连续或者交易量较小,本文仅选择广东、湖北和深圳三个交易量最大的主要区域碳市场为实证样本,建立VAR和多元GARCH(1,1)-BEKK模型,分别检验其均值溢出效应和波动溢出效应。为了消除履约期的影响,本文根据履约期将样本划分为阶段一(2014年7月1日至2015年6月30日)和阶段二(2015年7月1日至2016年7月19日),分阶段进行了检验。均值溢出效应检验结果显示:不论哪个阶段,三个碳市场之间均不存在明显的均值溢出效应。波动溢出效应检验结果显示:在第一阶段,湖北碳市场对深圳碳市场、深圳碳市场对广东碳市场分别存在单向波动溢出效应;在第二阶段,深圳碳市场对广东碳市场存在单向波动溢出效应,而在整个样本区间内,深圳碳市场对广东碳市场存在单向波动溢出效应。之后,本文根据理论分析对实证检验的结果进行了解释和说明。第一,中国主要碳市场之间之所以没有显著的均值溢出,可能与地域分割所导致的天然性市场分割和政策设计所导致的人为性市场分割有关。第二,由于市场有效性检验表明三个碳市场均未达到弱式有效,本文基于多重分形检验进一步度量了各市场的非有效性程度。检验结果显示:阶段一的波动溢出效应关系不完全符合市场有效性大小关系,而阶段二的波动溢出效应关系符合市场有效性大小关系,这也证明中国碳市场在阶段二相比阶段一更显成熟,即中国碳市场正在逐步发展与完善中。文章最后对中国碳排放权交易市场的发展提出了政策建议。
[Abstract]:China has established seven regional carbon markets since 2013 to reduce greenhouse gas emissions.The study of the spillover effect between the main carbon markets in China will help to find out the regional markets that play a price leading role in the initial stage of the carbon market and provide a reference for the development of the carbon market in other regions and the establishment of the national carbon market.In this paper, the development of seven carbon markets are analyzed and compared in detail.Because of the discontinuous data and small trading volume of the four carbon markets in Chongqing, Shanghai, Tianjin and Beijing, this paper chooses only three major carbon markets in Guangdong, Hubei and Shenzhen as empirical samples to establish VAR and multivariate GARCHEKK models.The mean spillover effect and volatility spillover effect are tested respectively.In order to eliminate the effect of performance period, the sample is divided into stage one (July 1, 2014 to June 30, 2015) and phase two (July 1, 2015 to July 19, 2016) according to the performance period.The results of mean spillover effect test show that there is no significant mean spillover effect between the three carbon markets at any stage.The results of volatility spillover effect test show that, in the first stage, Hubei carbon market has one-way volatility spillover effect on Shenzhen carbon market and Shenzhen carbon market has one-way volatility spillover effect on Guangdong carbon market.Shenzhen carbon market has one-way volatility spillover effect on Guangdong carbon market, while Shenzhen carbon market has one-way volatility spillover effect on Guangdong carbon market in the whole sample range.Then, according to the theoretical analysis, the empirical test results are explained and explained.First, there is no significant mean spillover between the major carbon markets in China, which may be related to the natural market segmentation caused by geographical segmentation and the artificial market segmentation caused by policy design.Second, because the market efficiency test shows that the three carbon markets are not weak efficient, this paper further measures the non-efficiency degree of each market based on multifractal test.The test results show that the volatility spillover effect relationship of stage one does not fully accord with the size of market efficiency, while the volatility spillover effect relationship of stage two accords with the market efficiency relationship.This also proves that China's carbon market is more mature than stage one in stage two, that is, China's carbon market is gradually developing and improving.Finally, the paper puts forward some policy suggestions on the development of carbon emissions trading market in China.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：X196;F832.5

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