基于结构突变点的欧盟及中国碳市场有效性研究  

Research on Efficiency of EU and China's Pilot Carbon Markets Based on Structural Breaks

作　　者：杨敏 朱淑珍[1] 厉无畏[1] Yang Min;Zhu Shuzhen;Li Wuwei(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China)

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《工业技术经济》2020年第7期92-99,共8页Journal of Industrial Technological Economics

摘　　要：碳市场的有效性,特别是其有效性的演变是发现制约市场有效性的关键要素,其对优化碳市场具有至关重要的作用。但现有的碳市场有效性分析,大多不考虑有效性的演变问题和引发其改变的“结构突变”这一关键要素。为此,本文提出采用基于市场结构突变点的Hurst指数(Hurst Index Based on Structural Breaks,HIBSB),以量化分析和考察碳市场的有效性演变,并以欧盟温室气体排放交易市场、湖北和上海碳市场2014年4月2日至2019年11月29日的碳排放权收盘价为对象,进行实证分析。实证结果表明,欧盟碳市场的结构断点要多于湖北和上海碳市场,更容易受到外部因素的影响且由于结构突变点的存在使3个碳市场的Hurst值都不同程度的被高估。湖北、上海碳市场的Hurst指数演变轨迹始终围绕0􀆰5上下波动,呈现趋近弱有效市场的良好发育状态和继续向好发展的可能性,而欧盟碳市场的Hurst演变则逐渐偏离弱有效市场,朝显著长期记忆性方向发展。本文最后对中国碳市场的发展提出了政策建议。Efficiency,especially its evolution is the key factor to improve and optimize the carbon markets.However,most of the existing literatures do not pay much attention to efficiency evolution and the key element of its change-structural breaks.Based on the status quo,this paper proposes a method called HIBSB(Hurst index based on structural breaks)to quantitatively ana-lyze and examine the evolution of carbon market effectiveness,taking the closing price of EU-ETS,Hubei and Shanghai carbon markets from April 2,2014 to November 29,2019 as research objects.The empirical results show that the structural breaks of EU are more than those of Hubei and Shanghai carbon markets’ and much more easily affected by external factors.Structural breaks make the Hurst index of the three carbon markets overestimated to varying degrees.The efficiency evolution of Hubei and Shanghai carbon markets have always been fluctuated around 0.5,indicating the characteristics of approaching weak effective market and the possibility of continuing to develop well while the efficiency evolution of the EU carbon market has gradually emerged long-term memory.Finally,the paper puts forward policy suggestions for the future development of Chinese carbon markets.

关 键 词：碳市场有效性 结构突变点 分形市场理论 DFA Hurst 量化分析 

分 类 号：F832.5[经济管理—金融学] F224