中国人口·资源与环境2016，Vol.26Issue(12)：63-69,7.DOI:10.3969/j.issn.1002-2104.2016.12.009
中国碳市场波动溢出效应研究
Volatility spillovers among Chinese carbon markets
摘要
Abstract
Since 2013, seven regional carbon trading markets have been set up in China.The study on the volatility spillover effects among the markets will help to identify the leading market in price discovery during the prior stage and provide suggestions for the further development of other regional markets and the establishment of the national carbon market.This paper selects three carbon markets with the largest trading volumes, which are Guangdong, Shenzhen and Hubei respectively, employs the multivariate GARCH (1,1)-BEKK model to analyze the volatility spillovers on Chinese carbon markets and explains the results from the perspective of market efficiency.To eliminate the effect of compliance, the samples are divided into two phases according to the compliance date: Phase I covers the period from July 1st, 2014 to June 30th, 2015 and Phase II covers the period from July 1st, 2015 to July 19th, 2016.The empirical results from the volatility spillover tests show that, during Phase I, there are significant spillover effects from Guangdong to Hubei, Hubei to Shenzhen and Shenzhen to Guangdong, respectively.During Phase II as well as the whole sampling period, the spillover effect is only significant from Shenzhen to Guangdong.Empirical results from variance ratio tests indicate that, either in Phase I, Phase II or in the whole sampling period, the three carbon markets have not reached weak-efficiency.Furthermore, based on multi-fractal tests, the spectrum width is calculated to compare the non-efficiency of the three markets and the results show that, during Phase I, II and the sampling periods, the market efficiency degrees are respectively: Hubei>Guangdong>Shenzhen, Shenzhen>Hubei>Guangdong, Guangdong>Shenzhen>Hubei.As it can be seen, the volatility spillover effects completely comply with the efficiency degree during the later stage but not during the earlier stage, which indicates the Chinese carbon markets are more mature in Phase II compared to Phase I.Finally, the paper puts forward policy suggestions for the future development of Chinese carbon markets.关键词
碳市场/波动溢出效应/有效性/分形市场Key words
carbon market/volatility spillover/efficiency/fractal market分类
管理科学引用本文复制引用
汪文隽,周婉云,李瑾,黄钰..中国碳市场波动溢出效应研究[J].中国人口·资源与环境,2016,26(12):63-69,7.基金项目
中国清洁发展机制基金赠款项目"上海市碳排放权试点项目"(批准号:1213108) （批准号:1213108）
教育部人文社会科学研究青年基金项目 "基于市场微观结构视角的欧盟碳市场价格形成机制研究"(批准号:13YJCZH163) （批准号:13YJCZH163）
中央高校基本科研业务费专项资金资助项目"我国碳金融创新与风险控制机制研究"(批准号:2013HGXJ0258). （批准号:2013HGXJ0258）
