传统能源及碳交易价格与新能源股价——基于VAR和CAPM-GARCH模型的分析

The Prices of the Conventional Energy and Carbon Emissions Trading as well as the Stock Price of the New Energy——Based on the Analysis of VAR and CAPM-GARCH Model

文章构建VAR模型和CAPM-GARCH模型，分析检验了2010年7月初至2013年底期间传统能源和碳排放权交易价格对国内新能源上市公司股价波动的影响及新能源股票收益率的波动特点，研究发现：国内煤价对新能源公司股价有显著的正向影响，而国际油价的影响不显著；碳排放权交易价格也是引起新能源投资价值从而上市公司股价变动的重要因素；新能源公司股价指数对高科技股价指数并不敏感，反映出国内新能源上市公司科技含量不足，资本市场关注更多的是新能源的概念而非技术优势；国内新能源股票整体的系统风险在1.125~1.131之间，利好消息比利空消息能引起新能源股票收益率更大的波动。

Based on VAR and CAPM-GARCH model with relevant variables involved from July 2010 to the end of 2013, the paper analyzed and verified the influence of the conventional energy and the price of the carbon emissions trading on the stock price of the listed companies of new energy and the characteristic of fluctuation of the new energy stock return. The empirical results show that. Firstly , domestic coal price has a significant positive impact on the new energy stock price while oil price doesn＇t have the same effect. Secondly , the price of carbon emissions trading is also one of the important factors that affect new energy stock price. Thirdly, new energy stock index is not sensitive to high-tech stock index, because the listed companies of new energy in China lack technical advantage and the capital market pays more attention to the concept, not the technical advantage of the new energy. Finally, the system risk of new energy stocks is between 1.125 and 1.131 and the fluctuation of new energy stock return is more sensitive to good news than to bad ones.