国际股票、外汇及原油市场对CER市场的波动溢出效应

The Volatility Spillover Effect of the International Stock,Foreign Exchang and Crude Oil Market upon the CER Market

清洁发展机制(CDM)推动下形成的核证减排单位(CER)交易市场是国际碳排放交易市场发展和完善的重要基础。针对目前CER市场价格下跌、交易低迷、市场萎缩情况,本文尝试从国际金融市场对CER市场收益的波动溢出角度加以阐释。选取股票、外汇和原油3个市场共13组数,利用TGARCH模型和主成分分析法,分析了单一金融市场对CER日收益的溢出效应和多个金融市场对CER日收益的共同溢出效应。实证结果显示,单一和共同波动溢出效应均存在,且外汇市场的波动溢出效应普遍强于股票和原油市场。

The trading market of Certified Emission Reduction(CER)is developed by the drive of Clean Development Mechanism(CDM)and has become an important platform for the development and flourish of the international carbon emission trading market.This present research is directly to analyze the volatility spillover of international financial markets to CER trading market,based on the present phenomena of price decrease,transaction inactivity and recession of CER trading market.It studies respectively the spillover effects of single and multi financial markets to CER daily returns using TGARCH model and principal component analysis,employing 13 group of daily dataset of stock,exchange rates and crude oil.The empirical results show that there exist both single and joint spillover effects,which is stronger in exchange rate market than that of stock market and crude oil market.