中国碳市场波动溢出效应研究

自2013年以来,中国已先后建立了七个区域性碳市场。研究中国碳市场之间的波动溢出效应,有助于发现在碳市场运行初期起价格引导作用的区域市场,为其它地区碳市场的发展和全国碳市场的建立提供建议。本文选择广东、湖北和深圳三个交易量最大的区域碳市场为样本,利用多元GARCH(1,1)-BEKK模型,检验其波动溢出效应。为了消除履约期的影响,本文根据履约期将样本划分为阶段一(2014年7月1日—2015年6月30日)和阶段二(2015年7月1日—2016年7月19日),分阶段进行了检验,并从市场有效性的视角解释了检验结果。波动溢出效应检验结果显示:在阶段一内,广东碳市场对湖北碳市场、湖北碳市场对深圳碳市场、深圳碳市场对广东碳市场分别存在单向的波动溢出效应;在阶段二内,只存在深圳碳市场对广东碳市场的单向波动溢出效应;在整个样本期内,只存在深圳碳市场对广东碳市场的单向波动溢出效应。基于方差比的市场有效性检验结果显示:无论是阶段一、阶段二或整个样本期,三个碳市场均没有达到弱式有效。本文进一步在多重分形检验的基础上,利用多重分形谱宽度,比较了三个碳市场的非有效性程度,结果显示:在阶段一、阶段二和整个样本期,三个碳市场有效性大小关系分别为:湖北广东深圳、深圳湖北广东、广东深圳湖北。可见,三个碳市场早期的波动溢出效应不完全符合市场有效性大小关系,而较晚期的波动溢出效应符合市场有效性大小关系,这证明了中国碳市场在阶段二相比阶段一更为成熟。本文最后对中国碳排放权交易市场的发展提出了政策建议。

Volatility spillovers among Chinese carbon markets

Since 2013, seven regional carbon trading markets have been set up in China.The study on the volatility spillover effects among the markets will help to identify the leading market in price discovery during the prior stage and provide suggestions for the further development of other regional markets and the establishment of the national carbon market.This paper selects three carbon markets with the largest trading volumes, which are Guangdong, Shenzhen and Hubei respectively, employs the multivariate GARCH (1,1)-BEKK model to analyze the volatility spillovers on Chinese carbon markets and explains the results from the perspective of market efficiency.To eliminate the effect of compliance, the samples are divided into two phases according to the compliance date: Phase I covers the period from July 1st, 2014 to June 30th, 2015 and Phase II covers the period from July 1st, 2015 to July 19th, 2016.The empirical results from the volatility spillover tests show that, during Phase I, there are significant spillover effects from Guangdong to Hubei, Hubei to Shenzhen and Shenzhen to Guangdong, respectively.During Phase II as well as the whole sampling period, the spillover effect is only significant from Shenzhen to Guangdong.Empirical results from variance ratio tests indicate that, either in Phase I, Phase II or in the whole sampling period, the three carbon markets have not reached weak-efficiency.Furthermore, based on multi-fractal tests, the spectrum width is calculated to compare the non-efficiency of the three markets and the results show that, during Phase I, II and the sampling periods, the market efficiency degrees are respectively: Hubei>Guangdong>Shenzhen, Shenzhen>Hubei>Guangdong, Guangdong>Shenzhen>Hubei.As it can be seen, the volatility spillover effects completely comply with the efficiency degree during the later stage but not during the earlier stage, which indicates the Chinese carbon markets are more mature in Phase II compared to Phase I.Finally, the paper puts forward policy suggestions for the future development of Chinese carbon markets.