碳排放权交易市场的信息流动关系——基于EUA市场和CER市场的实证研究

Information Flow in Carbon Emission Trading Market:Empirical Study on EUA Market and CER Market

基于Granger因果关系检验方法和MGARCH-BEKK模型,从报酬溢出和波动溢出的角度,研究国际碳排放权交易市场中的主要商品———EUAs和sCERs各自的期货价格与现货价格之间以及两者的期货价格之间的信息流动关系。结果表明:两个市场的现货市场始终都处于价格信息中心,期货市场的价格发现功能较弱甚至未体现;信息波动溢出方面,EUA市场中期货市场处于波动信息中心,而CER市场中现货市场处于波动信息中心;EUA的期货市场与CER的期货市场之间存在相互的价格溢出效应与波动溢出效应,但EUA市场的期货价格对CER市场具有更大的波动溢出效应。

Based on Granger causality test method and MGARCH-BEKK model,this paper empirically analyses the information flow relation- ship between futures prices and spot prices in international carbon emission trading market（EUA and CER） ,as well as the futures prices in them from the perspective of price spillover and volatility spillover. The empirical results show as follows ： either EUA or CER market, spot market is always in price information center,the function of price discovery in futures market is weak or even not reflect;from the perspective of volatility spillover, futures market is the center of volatility information in EUA market and spot market is still the center of volatility information in CER market; there are mutual price spillover and volatility spillover between EUA futures market and CER futures market,as the greater volatility spillover is form EUA market to CER market.