【摘要】 中国碳排放权交易市场(简称碳市场)流动性风险与市场风险交互联动，形成中国碳市场的叠加风险。本文将流动性风险纳入中国碳市场风险管理范围之内，构建中国碳市场叠加风险的评估模型，并以深圳、北京、广东、湖北和福建五个试点碳市场(简称碳试点)为样本进行实证研究。结果表明：中国碳试点流动性风险与市场风险的相关性为负，流动性溢价理论适用于中国碳市场，因此，忽略风险因子间的风险依赖，会导致碳试点的总体风险被高估，从而增加风险管理成本。在叠加风险的度量中，碳试点的叠加风险存在一定的区域差异，此外，实证结果还表明：中国碳市场的流动性风险处于主导地位，不应被忽视。本文在理论上丰富了碳市场风险的研究，在实践上为中国碳市场多种风险管理政策的制定提供依据，并为市场参与者的投资决策提供参考。更多还原

【Abstract】 Carbon trading is a major institutional innovation that uses market mechanisms to control and reduce greenhouse gas emissions, thus enabling green and low-carbon development. Compared with other financial markets, the carbon market has unique characteristics and functions. It also has more uncertainties and higher risks than other financial markets. Different risk factors are interdependent and interactive, resulting in potential losses for investors. Therefore, it is urgent to identify various kinds of risks in the carbon market and build a carbon market risk-assessment system.In the carbon market, liquidity risk and market risk affect investors’ potential losses. In addition, the two risks have a close relationship with one another, affecting the market efficiency of the carbon market. The traditional concept of market risk assumes that market price is not affected by market participants’ liquidation of assets. However, it is relatively common in the carbon market to see a large number of carbon quotas traded simultaneously, which is likely to cause large fluctuations in the market price, increase the market’s liquidity, and affect the market’s efficiency. Therefore, an analysis of risks from a single source cannot effectively measure the potential trading losses suffered by participants in the carbon market. Furthermore, it is necessary to explore the interaction between liquidity risks and market risks in the carbon market to better reveal the risk linkage mechanism of the carbon market and to comprehensively and effectively manage the market’s risks.The literature on the single risk of the carbon market is deep, but it has two deficiencies. First, studies tend to ignore the multiple sources of carbon market risks, and the effects and costs of carbon market risk management are not explored in a manner that is adequately comprehensive. Second, in the study of superposition risks in the carbon market, scholars only consider risks such as price, exchange rate, and interest rate and do not consider the important factor of liquidity risk. Our results show negative dependence on liquidity risk and market risk in China’s carbon pilot, and the liquidity premium theory is applicable to China’s carbon market. Therefore, ignoring the risk dependence between risk factors can lead to an overestimation of the overall risk of carbon pilot projects and increase the cost of risk management. Measurements of the superposition risk of China’s carbon pilot projects reveal regional differences between projects in Fujian, Shenzhen, Hubei, Guangdong, and elsewhere. In addition, our empirical results, which should not be ignored, show that liquidity risk plays a dominant role in the superposition risks of China’s carbon pilot projects.Our main innovative contributions are as follows. First, we find that the level of carbon pilot liquidity in China does not completely correspond to the liquidity risk. Specifically, we use the GARCH-VaR method to find that the Hubei carbon pilot project has the lowest liquidity risk, whereas the Fujian and Shenzhen carbon pilot projects have the highest liquidity risks. There are differences in the order of the liquidity risk of carbon pilot projects under different confidence levels, indicating that the liquidity risk of the carbon market is more complex. Second, we find that the risk of China’s carbon market is generally overestimated if only market risk is considered. We select the optimal Copula function system to analyze how different risk factors interact with each other in China’s carbon market. Our results show that the correlation between liquidity risk and market risk in the carbon market is negative and the two risks offset each other, thus reducing the overall risk of carbon pilot projects. Third, this paper includes liquidity risk in the scope of superposition risk management in China’s carbon trading market and constructs an assessment model of superposition risk in China’s carbon market. The results show that liquidity risk dominates superposition risk in China’s carbon market. Fourth, our study theoretically expands the research literature on carbon market risks, providing a practical basis for the unified and coordinated management of multiple risks in China’s carbon market.更多还原