欧盟碳排放权交易市场内溢出效应研究

发布时间：2018-01-05 20:13

本文关键词：欧盟碳排放权交易市场内溢出效应研究　出处：《合肥工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：欧盟排放交易体系(EU ETS)作为全球最大的碳交易平台,其内部子市场间的波动性会迅速传染到国际碳市场。考察欧盟碳交易体系内的溢出效应有助于理解全球碳市场的联合波动。本文选择EU ETS主要产品EUA为研究对象,将碳期权纳入传统仅包含现货与期货的碳市场溢出效应框架中,从信息流动视角考察了EUA现货、期货、期权市场间衡量价格领先滞后的均值溢出效应与衡量风险传导的波动溢出效应。在均值溢出效应上,基于协整关系的向量误差修正模型与格兰杰因果检验发现:在欧盟碳市场内部,碳现货、碳期货、碳期权三市场具有不同程度的信息溢出作用,其中期权市场运行效率较高,是主要的信息溢出方。期权市场首先吸收并消化大部分信息,率先作出反应,随即传递到现货与期货市场引导两市场价格走势。期货和现货市场也起到了一定程度的信息溢出作用,尤其期货对于现货市场的信息溢出剧烈,期货市场的价格发现功能得以体现。在波动溢出效应上,构建能更准确表征碳价收益率序列随机波动与尖峰厚尾特征的DGC-MSV-t模型,考察波动溢出强度与动态关系发现:期权市场是欧盟碳市场的波动溢出中心,在信息流动与风险传递中起主导作用。期货市场发展程度与包含的信息质量较高,价格能充分反映影响碳资产供需因素与交易者的预期,其波动更易向现货市场溢出。随着现货市场发展越来越高效透明,信息流动速度加快,现货市场正在向波动溢出中心地位缓步前进。此外,三市场间高度时变正相关。现货与期货、现货与期权时变关系波动剧烈但波动持续性较低,市场能快速消化引起价格波动的信息。期货与期权时变关系较稳定但波动持续性高,市场信息消化过程较慢,价格自我调节机制较弱。
[Abstract]:EU ETS, the EU's emissions trading system, is the world's largest carbon trading platform. The volatility between its internal submarkets will quickly spread to the international carbon market. It is helpful to understand the joint volatility of the global carbon market by examining the spillover effects within the EU carbon trading system. EUA, the main product of ETS, is the research object. Carbon options are brought into the traditional framework of carbon market spillover effect which only includes spot and futures. From the perspective of information flow, this paper investigates EUA spot and futures. The average spillover effect between the options market and the volatility spillover effect of the risk conduction. Vector error correction model based on cointegration and Granger causality test find that: in the EU carbon market, carbon spot, carbon futures, carbon options three markets have different degrees of information spillover effect. The option market is the main information spillover party. The option market first absorbs and digests most of the information and makes the first response. The futures and spot markets also play a role of information spillover to a certain extent, especially the information spillover of futures to the spot market. The price discovery function of futures market can be realized. In terms of volatility spillover effect, the DGC-MSV-t model which can more accurately characterize the stochastic volatility and the peak and thick tail characteristics of carbon price yield series is constructed. It is found that the option market is the center of volatility spillover in EU carbon market, which plays a leading role in information flow and risk transmission, and the development degree and quality of information contained in futures market is high. The price can fully reflect the factors affecting the supply and demand of carbon assets and traders' expectations, and its fluctuations are more likely to spill over to the spot market. As the development of the spot market becomes more efficient and transparent, the speed of information flow accelerates. The spot market is moving slowly towards the central position of volatility spillover. In addition, the three markets are highly time-varying positive correlation. Spot and futures, spot and option time-varying relationship is volatile, but the volatility is low. The relationship between futures and options is stable but the volatility is high, the process of market information digestion is slow, and the price self-regulation mechanism is weak.
【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;F224;F831.5

【相似文献】