国际碳市场价量关系的多重分形特征研究  

Investigation of multifractal features of the relationship between price and volume in international carbon market

作　　者：张晨[1] 范芳芳 杨仙子 汪文隽[2] ZHANG Chen;FAN Fangfang;YANG Xianzi;WANG Wenjun(School of Management,Hefei University of Technology,Hefei 230009,China;School of Economics,Hefei University of Technology,Hefei 230601,China)

机构地区：[1]合肥工业大学管理学院,安徽合肥230009 [2]合肥工业大学经济学院,安徽合肥230601

出　　处：《合肥工业大学学报（自然科学版）》2019年第9期1284-1291,共8页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(71373065)

摘　　要：文章在验证欧盟排放配额(European Union allowance,EUA)市场价量之间交互相关关系存在性的基础上,使用多重分形去趋势交叉相关分析(multifractal detrended cross-correlation analysis,MF-DCCA)法研究发现,由于长记忆性和厚尾分布的存在,价量关系存在多重分形特征。研究价量关系在欧盟碳排放体系的实施过程的3个阶段(2005-2007年、2008-2012年和2013-2020年)中的差异性,发现不同阶段价量关系的多重分形特征不同,第2、3阶段的市场风险明显低于第1阶段,有效性有所提高;进一步使用非对称MF-DCCA(MF-ADCCA)法研究不同市场状态下价量关系的非对称性发现,对于每一阶段,价格或者交易量序列趋势改变时,多重分形特征和市场风险也有所不同。文章通过分析碳市场价量关系的多重分形特征探究了市场的有效性和风险状态及其变化,为监管者和投资者深入认识市场提供了参考。This paper verifies the existence of the cross-correlation between price and volume in European Union allowance(EUA)market firstly.And then it is found that the relationship between price and volume is multifractal because of long-range correlations and fat-tail distributions with multifractal detrended cross-correlation analysis(MF-DCCA).At the same time,the differences of the relationship between the price and volume in the three periods(2005 2007,2008 2012 and 2013 2020)of European Union carbon emissions trading system are studied.It is revealed that the multifractal characteristics of the relationship between the price and volume are different in each period of the market,and the risks of second and third periods are obviously lower than that of the first period while the market effectiveness is improved.Furthermore,the asymmetry of the relationship under different market situations is also examined with multifractal asymmetric detrended cross-correlation analysis(MF-ADCCA).It is discovered that the multifractality and the risk of market are different when the trend of price or volume changes in three periods.By analyzing the multifractal characteristics of the relationship between the price and volume in carbon market,the market effectiveness and risk status and their changes are explored.The results contribute to providing a theoretical reference for regulators and investors to understand the carbon market fully.

关 键 词：碳市场 价量关系 多重分形 阶段性差异 非对称性 

分 类 号：F830.9[经济管理—金融学]