【作者】 张晨； 年敏； 刘芳；

【Author】 ZHANG Chen;NIAN Min;LIU Fang;School of Management,Hefei University of Technology;

【机构】 合肥工业大学管理学院；

【摘要】 探究政府与市场协同调控的产物——碳市场的有效性,对提高碳减排效率有重要意义。文章推出严格满足Fama有效市场定义的市场有效性检验方法,选取美国洲际交易所2009-2013年不同到期日的CERs期货合约为数据样本,从政府与市场协同调控有效性视角,使用基于无套利定价模型的协整检验及参数约束检验来探究欧盟CERs期货市场的有效性,并进一步建立向量误差修正模型来考察CERs期货市场的短期价格调整行为。研究表明:碳期货市场有效性程度较低,政府与市场协同调控效果不显著,建议在碳市场建立初期改善政府在碳市场生态收益内部化机制中政策工具发挥的效果。更多还原

【Abstract】 Exploring the validity of the carbon market,which is the creation of the government’s coordination with market regulation,has important significance to improve the efficiency of carbon emissions. Research method used in thispaperis more in line with Fama’s definition of efficient market. From the perspective of government and market regulation’s Coordination effectiveness,the paper selects five CERs futures contract of different maturities for the data sample,provides the cointegration test and the parametric test based on Cost- of- Carry Model to explore the European Union CERs futures market,and further establishs the Vector Error Correction Model to examine the short- term price adjustment behaviors of CERs futures market. Studies have shown that the degree of effectiveness of the European Union CERs futures market is low,andcoordination effect of the government and the market regulation is not significant. Based on this,we suggest thatimprove the government’s effect of the policy tools to play in internalization mechanism of ecological benefit in the carbon market at the beginning of the carbon market.更多还原