中国碳交易二级市场有效性研究——以北京、上海、广东、湖北碳交易市场为例

Research on the Efficiency of the Secondary Carbon Market in China——based on the Beijing,Shanghai,Guangdong and Hubei Carbon Market

选取北京、上海、广东、湖北碳交易市场自成立至2017年3月31日的收盘价数据,通过对日收益序列数据的分析,运用一阶自回归过程调整日收益序列以消除淡薄交易市场效应,之后综合运用检验性逐渐增强的4个方差比检验,判断4个碳交易市场的弱式有效性。研究结果表明:(1)国内碳交易市场属于淡薄交易市场;(2)市场中的价格信息堆积,信息透明度较差;(3)碳交易市场投资风险较大;(4)碳配额持有期不同,市场有效性具有差异,且具有阶段性特点;(5)北京碳交易二级市场属于弱式无效市场,上海、广东碳交易市场虽属于弱式无效市场,但随着碳额持有期增加,市场的弱式有效不断加强,湖北碳交易已经达到了弱式有效水平。最后,基于研究结论对如何加强中国碳交易二级市场有效性提出4点建议。

This paper selects Beijing,Shanghai,Guangdong and Hubei carbon market close price from the market set up to March 31,2017,examines the weak-form carbon trading market efficiency,analyzes the daily returns data which uses an autoregressive process to eliminate the thin trading effect,based on the four tests which the credibility gradually increased.The results show that the carbon markets in china are thin markets;the information of carbon price is pile and the information transparency is poor;with high investment risk in the carbon trading;the different holding periods of carbon quotas have different effective level,the carbon market efficiency has a stage characteristic;Beijing carbon trading market is weak-form efficient;Shanghai and Guangdong carbon trading market belongs to weak-form ineffective,but the effective of market is strengthening;Hubei carbon trading market has reached the level of weak-form efficiency.Finally,it puts forward four suggestions on how to strengthen the effectiveness of China carbon trading markets based on the empirical results.