基于分形市场假说的全国试点碳交易市场有效性研究  

Study on the Effectiveness of National Pilot Carbon Trading Market Based on Fractal Market Hypothesis

作　　者：宁若宇 刘伊生[1] NING Ruo-yu;LIU Yi-sheng(School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China)

机构地区：[1]北京交通大学经济管理学院,北京100044

出　　处：《科技和产业》2021年第4期20-25,共6页Science Technology and Industry

基　　金：国家自然科学基金面上项目(7187010712)。

摘　　要：碳交易试点市场运行至今已有数年,目前正处于由试点向全国过渡的关键时期。基于分形市场假说,通过计算Hurst指数发现,8个试点碳交易市场均未达到市场弱式有效的标准。各地区交易政策与现状表明其仍存在免费配额供给过剩、控排主体履约驱动力不强等问题。基于此提出要建立全国统一碳市场,必须处理好市场与政府关系,保持市场灵活性,同时完善交易制度,让更多有效投资者进入。The carbon trading pilot market has been in operation for several years and now is in a critical period of transition from the pilot to the national level.Based on the fractal market hypothesis,this paper calculates Hurst index and finds that all the 8 pilot carbon trading markets fail to meet the standard of weak market efficiency.The trade policy and current situation of each region show that there are still problems such as oversupply of free quota.Therefore,in order to establish a national unified carbon market,it is necessary to deal with the relationship between the market and the government,maintain market flexibility,and improve the trading system to allow more effective investors to enter.

关 键 词：分形市场假说 HURST指数 市场有效性 

分 类 号：C934[经济管理—管理学]