环境与可持续发展2016，Vol.41Issue(5)：25-29,5.
我国碳交易市场与化石能源市场间的动态相关性研究--基于DCC－（BV）GARCH模型的检验
The Dynamic Correlation Study between Carbon Emission Trading Market and Fossil Energy Market in China---Base on DCC-(BV) GARCH model test
摘要
Abstract
Along with the rapid development of carbon emission trading market in China, the carbon emission has been allocated into more and more investors’ portfolios as a new financial asset� As the burning of fossil fuels is the main source of carbon dioxide, and industrial enterprises can transform their use of fossil energy ( coal, oil and gas ) through technology development, the price of fossil energy and carbon emission has intrinsic relationship. As a result, the research which focus on the dynamic correlation between carbon emission trading market and fossil energy market is really important for carbon market investors to manage their asset portfolios� This paper used DCC- ( BV ) GARCH model to explore the dynamic correlation between the return volatility of carbon market and fossil energy market based on the data of Shenzhen carbon emissions pilot. The research found that the correlation coefficients of the return volatility between the carbon market and coal market, oil market are obviously time-varying� Therefore, the carbon market investors should pay attention to the correlation relation of the fluctuations between the carbon market and fossil energy market� They also need to reduce portfolio risk through reasonable asset allocation, continue to adjust the allocation ratio of portfolio and actively carry out risk management to obtain higher risk adjusted returns.关键词
碳市场/化石能源市场/DCC-(BV) GARCH模型/动态条件相关系数Key words
carbon emission trading market/fossil energy market/DCC-( BV ) GARCH model/dynamic conditional correlation分类
资源环境引用本文复制引用
高清霞,李昉..我国碳交易市场与化石能源市场间的动态相关性研究--基于DCC－（BV）GARCH模型的检验[J].环境与可持续发展,2016,41(5):25-29,5.
