【摘要】 文章以欧洲碳排放权现货市场为研究对象,在分析研究的必要性和可行性的基础上,对碳排放权现货自2010年1月4日起至2013年12月10日每日交易价格构建GARCH模型做实证研究,进而探讨欧洲碳排放权现货市场的有效性情况。通过分析发现碳排放权现货收益率具有一定的长期记忆性,并且当日的收益率受其滞后两期的收益率水平的影响,距离越近对当期收益率影响越大,从而说明欧洲碳排放权现货市场还不具有有效性的特征,这主要与市场本身的不成熟性、市场的分割性等原因有关,这为完善全球碳排放权交易体系和我国建立碳排放权交易市场提供一定借鉴。更多还原

【Abstract】 In order to explore the efficiency of the EU spot market of carbon emissions permit,the Europe carbon emissions spot market has been chosen as the research object,after the analysis of the necessity and feasibility,the daily interest rate of the spot goods from the4 thJan. 2010 to the 10 thDec. 2013 are to be studied with the GARCH model in order to explore the effectiveness of the Europe carbon emissions permit spot market. It shows that there is a long-term memory in the yield rate of the spot market of carbon emissions permit. On the other hand,the daily yield is affected by the two phase lag of the yield,the closer to the date,the greater of the effect on the current yield,therefore it can come to the conclusion that the spot market of carbon emissions permit in Europe does not have the feature of effectiveness,which is related with the factors like the immaturity of the market itself and its segmentation. The result of the study may provide some certain reference for improving the global carbon emissions permit trading system and establishing the carbon emissions permit trading market in China as well.更多还原