政策导向、市场开放与跳跃行为:基于我国区域性碳排放交易市场的研究  

Policy Orientation,Market Openness and Jump Behaviors:Study of China's Regional Carbon Emission Market

作　　者：胡根华 吴恒煜[3] 周葵[4] 马晓青[5] HU Gen-hua1,2,WU Heng-yu3,ZHOU Kui4,MA Xiao-qing5(1. School of Business, Anhui University of Technology, Maanshan 243032, China ;2. Anhui Institute for Innovation-Driven Development, Anhui University of Technology, Maanshan 243032,China; 3. Management School,Jinan University,Guangzhou 510632,China; 4. China Western Economics Research Centre, Southwestern University of Finance ＆ Economics,Chengdu 611130,China; 5. Industrial and Commercial College, Anhui University of Technology, Maanshan 243032 ,Chin)

机构地区：[1]安徽工业大学商学院,安徽马鞍山243032 [2]安徽工业大学安徽创新驱动发展研究院,安徽马鞍山243032 [3]暨南大学管理学院,广东广州510632 [4]西南财经大学中国西部经济研究中心,四川成都611130 [5]安徽工业大学工商学院,安徽马鞍山243032

出　　处：《系统工程》2017年第10期33-41,共9页Systems Engineering

基　　金：国家自然科学基金资助项目(71171168;71273213;71601125);教育部人文社会科学研究青年项目(16YJC790030);安徽省自然科学基金资助项目(1708085QG163)

摘　　要：结合GARCH模型构建五类跳跃强度模型,研究我国第一个区域性碳排放交易市场——深圳碳排放权交易市场收益率数据的跳跃行为。结果表明:深圳碳排放权市场收益率呈现波动持久性和明显的时变跳跃行为,且跳跃与整个市场的波动率、GARCH波动率之间存在显著的敏感性;同时,深圳碳排放权市场的跳跃方向表现出显著的非对称性,即一次市场价格上涨之后,下一期的跳跃方向更趋向于正向跳跃。进一步地,研究政策导向和市场开放等两类事件的发生对深圳碳排放权交易市场的影响,发现这三个事件给市场带来较大的冲击,在不同程度上使市场产生时变跳跃行为。最后,研究市场价格急剧下跌时期时变跳跃强度的变化,发现其强度出现一定幅度的上升。In this paper we firstly apply jump and GARCH processes to model the daily returns of Shenzhen carbon emission market and test for the time-varying jumps in the market.We find the evidence of the volatility persistence and dynamic time-varying jumps in Shenzhen carbon emission market,and there exists significant sensitivity of jumps to market＇s volatility and GARCH volatility.Meanwhile,the direction of a jump is significantly asymmetric.In other words,after a market upturn,the direction of a jump in the next period possibly tends to be positive jumps.Furthermore,we analyze the response of Shenzhen carbon emission market to the events of policy orientation and market openness,and great shocks can be tested and time-varying jumps exist in the market.Finally,we discuss the change of time-varying jump intensity in the period of market downturn and the intensity increases with a big size.

关 键 词：碳排放权 时变跳跃 跳跃强度 ARJI模型 

分 类 号：F830[经济管理—金融学]