中国碳市场价格行为分析

发布时间：2018-01-20 08:11

本文关键词： 价值投资 Zipf方法碳市场　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：改革开放以来,中国成为了世界上发展速度最快的国家之一,但粗放的经济发展模式不仅使我国面临越来越严重的环境污染问题,也使得我国成为全世界碳排放强度最高的国家之一。因此,可持续的发展低碳经济是我国在当前经济环境下的必然选择。碳交易市场是强制减排政策下,基于人为设计的碳配额交易机制所形成的市场。碳市场的建立使碳排放权成为一种新型资产,减排效率高的企业可出售碳配额获利,而减排效率低的企业则需要购入碳配额以履行强制减排义务。近年来,碳排放权交易体系从欧盟的EU ETS逐渐走向全世界,强有力的支撑了低碳经济的发展。目前,碳金融已经成为金融服务创新的前沿领域。碳排放权的商品化、市场化会在促进企业减排的同时,为经济发展创造新的推动力,提供投资者分散投资风险的新途径。碳配额不仅是履约企业拥有的碳资产,更是履约标的,因此具有独特的价格行为。履约企业与碳市场中的投资者有着不同的交易地位和交易策略。虽然投资者只能通过碳价变动获利,但长期持有碳配额本质上为企业的减排投资提供了融资支持。然而,结合历史经验,无论是欧洲的EU ETS还是中国的各个试点地区都曾多次出现碳价的异常变动,如,欧洲的EU ETS经历过三次碳价暴跌,重庆碳市场自2014年6月19日正式启动至2016年7月21日仅有29个交易日存在交易,且成交均价已由30.74元/吨下跌到10元/吨。湖北碳市场在2016年7月15日连续三个交易日碳价达到跌幅限制。这些市场异象不利于碳市场健康稳定的发展。因此,在全国统一碳市场建立之前需要解答如下问题:中国的碳市场是否鼓励价值投资?个人投资者在碳交易中能够发挥什么作用?投资者的交易间隔与心理预期如何影响价格行为?基于Zipf方法模拟不同交易间隔和预期收益阈值下碳配额的价格行为表明,中国的试点碳市场存在价格失灵问题,无法有效的进行价值投资,却鼓励频繁交易,其投机氛围较为浓厚。为此,建立全国统一碳市场时应充分考虑“新常态”下的经济环境、着力构建动态配额供给机制、引导价格预期,并通过逐步提高拍卖配发碳配额的比例,加快碳配额衍生品市场的发展,完善碳市场的价格功能,正确的认识到碳市场中政府应该发挥的作用,进一步完善法律法规,保护交易主体的权益,为市场注入更多的信心,以更好地激励企业减排。
[Abstract]:Since the reform and opening up, China has become one of the fastest developing countries in the world, but the extensive economic development model not only makes our country face more and more serious environmental pollution problem. Therefore, sustainable development of low-carbon economy is the inevitable choice of our country in the current economic environment. Carbon trading market is the mandatory emission reduction policy. The establishment of carbon market makes carbon emission rights a new type of asset, and enterprises with high emission reduction efficiency can sell carbon quotas for profit. In recent years, the carbon trading system has gradually moved from the EU ETS to the world. The development of low-carbon economy has been strongly supported. At present, carbon finance has become the frontier of financial service innovation. The commercialization of carbon emission rights, marketization will promote enterprises to reduce emissions at the same time. To create a new impetus for economic development and provide a new way for investors to diversify their investment risks. Carbon quotas are not only the carbon assets owned by performing enterprises but also the targets of performance. Therefore, there is a unique price behavior. Performing enterprises and investors in the carbon market have different trading positions and trading strategies. Although investors can only profit from carbon price changes. But long-term carbon quotas essentially provide financing support for companies' investment in reducing emissions. However, combining historical experience. Europe's EU ETS and China's pilot regions have seen unusual shifts in carbon prices on several occasions, such as three price falls in Europe's EU ETS. There are only 29 trading days in Chongqing from June 19th 2014 to July 21st 2016. And the average transaction price has fallen from 30.74 yuan / ton to 10 yuan / ton. Hubei carbon market reached the limit of carbon price decline for three consecutive trading days on July 15th 2016. These market anomalies are not conducive to the health of the carbon market. Steady development. Before the establishment of the national unified carbon market, the following questions need to be answered: does China's carbon market encourage value investment? What role can individual investors play in carbon trading? How does investor's trading interval and psychological expectation affect price behavior? Based on the Zipf method to simulate the price behavior of carbon quota under different trading interval and expected income threshold, it is shown that there is a price failure problem in China's pilot carbon market, which can not effectively carry out value investment. Therefore, when establishing the national unified carbon market, the economic environment under the "new normal" should be fully considered, and the dynamic quota supply mechanism should be constructed to guide the price expectation. And by gradually increasing the proportion of auction-allotment carbon quota, accelerate the development of carbon quota derivatives market, improve the price function of carbon market, correctly understand the role that the government should play in the carbon market. Further improve laws and regulations, protect the rights and interests of trading parties, inject more confidence into the market, in order to better encourage enterprises to reduce emissions.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：X196;F832.5

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