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An Empirical Investigation on the Risk-Return Relationship of Carbon Future Market 被引量：1

An Empirical Investigation on the Risk-Return Relationship of Carbon Future Market
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摘要 This paper examines the risk-return relationship for the carbon future market during Phases I, II and III of the European Union Emission Trading Scheme(EU ETS). The risk factors derived from the newly developed LSW model, are embedded into a GARCH framework. This new specification is compared with several GARCH-M type models analyzing the risk-return relationship in the carbon market. The results show that the new specification consistently achieves a good fit and possesses superior explanatory power for the European Union Allowance(EUA) data. Some policy suggestions regarding market efficiency are also provided.
作者 LI Ziran QIAO Han SONG Nan ZU Lei
机构地区 Collaborative Innovation Center for the Innovation and Regulation of Internet-Based Finance CFFEX Institute for Financial Derivatives School of Management Directors'Office School of Management Sciences and Engineering
出处 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2016年第4期1057-1070,共14页 系统科学与复杂性学报（英文版）
基金 supported by the National Natural Science Foundation of China under Grant Nos.71003057,71003094 and 71373262 Shanghai Key Laboratory of Intelligent Information Processing under Grant No.IIPL-2014-001
关键词 Carbon price GARCH information diffusion risk-return. 碳价格；GARCH；信息散开；风险回来；
分类号 F764.1 [经济管理—产业经济] F724.5 [经济管理—产业经济]
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Journal of Systems Science & Complexity
2016年 第4期

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