深圳碳排放交易市场有效性研究

Study on Efficiency of Carbon Emission Trading Market in Shenzhen

根据《京都议定书》的精神,二氧化碳排放权被当作一种商品进行交易,从而形成了碳排放权交易市场。我国已经在七个省市开展碳排放交易试点工作,以深圳碳排放权交易市场为例,选取2014年3月25日至2017年3月23日共692个交易日深圳碳排放权交易的日成交均价作为研究对象,在对收益率序列进行平稳性检验和ARCH效应检验后,最终采用GARCH(1,1)模型来刻画深圳碳排放权交易市场的收益率序列。模型回归结果表明,该市场具有波动聚集的特点,对冲击消化时间较长。继续对收益率序列进行随机游程检验,结果表明该序列不符合随机游走序列的假定。这些都说明,在深圳碳排放权交易市场中,未来价格与历史价格存在相关性,不满足关于弱有效市场的论述,不具备弱有效性。深圳市场暴露出的问题也应引起我们对其他试点地区的思考。我国将在2017年建成全国碳排放交易市场,初始分配应尽量采取无偿分配与有偿分配相结合的方式,并为今后新建重大项目预留一部分配额;同时要推进碳市场立法,完善监管体系,建立市场化碳金融体制,推进碳金融产品创新。

It was agreed in Kyoto Protocol that carbon emission permit can be bought and sold,and as a result a new market was established for carbon emission allowance trading.Pilot trading projects have been carried out in five cities as well as two provinces in China,and Shenzhen Carbon Emission Trading Market was se- lected for a case study of efficiency analysis ,based on the daily average transaction price of carbon emission trading during a period of 692 trading days from March 25th,2014 to March 23rd,2017.After performing the stationary test and ARCH effect test,it is concluded that GARCH （1,1） model can be used to describe the rate of return series of Shenzhen Carbon Emission Trading Market.The regressive results of the model reveal that the market has a behavior of volatility clustering with a slow recovery after a volatile shock.Run test is also performed and it shows that the hypothesis of a random walk series should be rejected.All these find- ings provide the evidence that future prices are dependent on historical prices in Shenzhen Carbon Emission Trading Market,and this market is not behaving in a manner which is consistent with weak form efficiency. The problems revealed in Shenzhen market may remind us of thinking about the other pilot areas.A national carbon trading market will be established in 2017,in which the combination of free allocation and payable allocation is suggested for the initial allocation with appropriate reservation for new important projects.It is al- so very important to promote legislation in carbon market,perfect the supervision system,establish the market- driven carbon finance mechanism and facilitate the innovation in carbon finance products.