碳价格对股票价格溢出效应研究——基于VAR-BEKK-GARCH模型的分析

A Study of Carbon Price Spillovers on Stock Prices--Analysis Based on VAR-BEKK-GARCH Model

碳市场日益完善与成熟,与股票市场的联动性逐渐增强。为了探寻国内碳市场与股票市场间的价格溢出效应,基于VAR模型分析国内碳市场与股票市场间存在的格兰杰因果关系,并建立BEKK-GARCH模型进行深入分析。结果表明:湖北和深圳碳市场收益率是股票市场收益率的Granger原因;国内碳市场与股票市场间价格溢出存在显著的单向波动溢出效应;深圳碳市场和湖北碳市场碳排放权价格与沪深300指数不存在双向波动溢出效应,且湖北碳市场碳排放权价格与主要股票指数的单向波动溢出效应更加明显。基于此,应加快碳市场建设,扩大交易主体范围;发展碳排放权期货交易市场,完善碳交易价格发现功能;预防碳交易风险,适时推进碳衍生品创新发展。

Carbon markets are becoming more sophisticated and mature,and more linked to the stock market.In order to explore the price spillover effect between the domestic carbon and stock markets,the Granger causality between the domestic and stock markets is anal-ysed based on the VAR model,and the BEKK-GARCH model is established for in-depth analysis.The results show that Hubei and Shen-zhen carbon market returns are the Granger cause of stock market yield rate;there is a significant unidirectional fluctuation spillover effect between the domestic and stock markets;there is no two-way fluctuation spillover effect between the carbon emission right price and CSI300 index in the Shenzhen carbon market and Hubei carbon market,and the one-way fluctuation spillover effect between the carbon emis-sion right price and major stock indices in the Hubei carbon market is more prominent.Based on this,the carbon market should be acceler-ated to expand the scope of the leading trading body;the carbon emission rights futures trading market should be developed;the carbon trading price discovery function needs to be improved;the risk of carbon trading should be prevented and the development of carbon derivatives should be innovated in due course.