能源期货市场、能源股票市场与碳市场非线性关系动态分析

Dynamicanalysis of Nonlinear Relations between Energy Futures,Energy Stock and Carbon Markets

随着我国碳排放权交易体系日趋完善和成熟,碳排放权的金融属性不断增强,能源期货市场、能源股票市场与碳市场的非线性链接关系不断突显。在解析能源期货市场、能源股票市场与碳市场相互影响原理的基础上,通过分析选取和构建了中证能源期货综合指数、能源上市公司股票价格和深圳碳排放权现货价格实证研究变量,获取和计算了三者2013年8月至2018年10月的周交易数据。基于变量数据的探索性分析,构建了描述能源期货市场、能源股票市场与碳市场之间非线性动态关系的MSVAR模型。通过模型运用和实证分析,揭示了能源期货市场、能源股票市场与碳市场非线性关系动态演变规律。首先,能源期货市场、能源股票市场和碳市场之间存在平稳和非平稳两种状态,市场间的价格波动呈现出区制转换效应,非平稳的市场状态比平稳的市场状态具有更强的持续性;第二,国内能源期货市场和能源股票市场对碳市场影响较大,但碳市场对能源期货市场和股票市场影响较弱;第三,中证能源期货综合指数、能源股票价格和深圳碳排放权现货价格3个变量之间存在非线性空间传导效应,说明能源期货市场、能源股票市场和碳市场之间呈现出结构变化和非线性特征,研究发现碳市场价格对于自身的冲击都显著强烈于对其他市场的冲击,且冲击具有持久性。上述非线性关系动态演变规律将有助于我国统一的碳排放权交易市场的建立和完善。

With the improvement and maturity of carbon emission trading in China,the financial asset attributes of carbon emission rights are increasing and the non-linear linking relations between energy futures market and energy stock market is becoming increasingly prominent.Based on the analysis of the interaction principle of energy futures market,energy stock market and carbon market,the empirical variables of energy futures composite index,stock price of Energy listed companies and spot price of carbon emission rights in Shenzhen are selected and constructed.The time interval of transaction data is from August 2013 to October 2018.Based on the exploratory analysis of variable,a MSVAR model describing the non-linear dynamic relationship among the three markets is constructed.Through empirical analysis and model application,the dynamic evolution pattern of the non-linear relationship between energy futures market,energy stock market and carbon market is analyzed.Firstly,there are two kinds of stable and non-stable states in energy futures market,energy stock market and carbon market.Price fluctuations between markets show the effect of regional system transformation.Non-stationary market state has stronger persistence than stationary market state.Secondly,domestic energy futures market and energy stock market have a strong impact on carbon market.The market has a greater impact,but the carbon market has a weak impact on the energy futures market and the stock market.Thirdly,there is a non-linear spatial transmission effect among the three variables of the energy futures composite index,the energy stock price and the spot price of carbon emission rights in Shenzhen,which indicates that the energy futures market,the energy stock market and the carbon market present a non-linear spatial transmission effect.Structural change and non-linear characteristics,the study found that the impact of carbon market price on itself is significantly stronger than its impact on other markets,and the impact is persistent.The dynamic evolution pattern of the above-mentioned non-linear relationship will contribute to the establishment and improvement of a unified carbon emission trading market in China.