欧洲碳期货市场动态套利策略建模及实证研究

发布时间：2018-01-02 20:21

本文关键词：欧洲碳期货市场动态套利策略建模及实证研究　出处：《北京理工大学学报(社会科学版)》2017年01期 　论文类型：期刊论文

【摘要】：欧盟碳排放交易体系(EU ETS)的碳排放配额(EUA)市场和清洁发展机制(CDM)下,经核准的碳减排量二级市场(s CER)已经成为国际典型的碳期货市场,投资者如何在它们之间实现有效套利值得重视。因此,采用动态条件相关-门限广义自回归条件异方差(DCC-TGARCH)模型,探讨了2009—2016年EUA和s CER期货合约收益率的动态相关性,并考察了多种套利策略的最优套利比率和套利效果。结果表明:首先,样本区间内EUA和s CER期货价格收益率之间存在时变正相关关系,但相关程度逐渐减弱。其次,常相关-TGARCH(1,1)与DCC-TGARCH(1,1)模型的最优套利比率随时间不断变化。再次,动态套利的有效性一般优于静态套利,而DCC-TGARCH(1,1)模型的有效性优于常相关-TGARCH(1,1);而且,与不套利相比,使用套利策略可以提高投资组合的平均收益。这些结果为投资者在碳期货市场选择跨市场套利策略提供了决策依据。
[Abstract]:The European Union's carbon emissions trading system (EU ETS) has a carbon quota EUA market and a clean development mechanism (CDM). The approved carbon emission reduction secondary market (CER) has become a typical international carbon futures market. How to achieve effective arbitrage between them is worthy of attention. The dynamic conditional correlation-threshold generalized autoregressive conditional heteroscedasticity (DCC-TGARCH) model is used. This paper discusses the dynamic correlation of the returns of EUA and s CER futures contracts from 2009 to 2016, and studies the optimal arbitrage ratio and the arbitrage effect of various arbitrage strategies. The results show that: first of all. In the sample interval, there is a time-varying positive correlation between EUA and s CER futures price return, but the correlation degree gradually weakens. Secondly, there is a common correlation between EUA and S CER. 1) the optimal arbitrage ratio to DCC-TGARCH1) model changes with time. Thirdly, the effectiveness of dynamic arbitrage is generally better than static arbitrage, while DCC-TGARCH(1. 1) the validity of the model is better than that of the normal correlation TGARCHN. Moreover, compared with non-arbitrage, the average return of portfolio can be improved by using arbitrage strategy, which provides a basis for investors to choose cross-market arbitrage strategy in carbon futures market.
【作者单位】：湖南大学工商管理学院资源与环境管理研究中心;北京理工大学机电学院;
【基金】：国家自然科学基金资助项目(71273028,71322103,71431008)
【分类号】：F831.53;X196
【正文快照】： 碳市场是人类利用市场机制解决全球气候变暖问题的重要制度创新。为了帮助欧盟成员国完成《京都议定书》提出的数量化温室气体减排目标,欧洲委员会从2005年开始实施欧盟排放交易体系(EU ETS)。按照EU ETS规定,各成员国的排放设施每年都要在实际排放量和被分配配额之间寻找平衡

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