摘要
为定量描述我国碳市场交易风险,分析碳交易市场中收益率的波动性,选择2016年1月—2021年3月湖北、上海、北京、广东四所碳交易试点的碳交易价格和碳交易收益率为研究变量,并对其进行描述性统计、平稳性检验、ARCH分析以及GARCH分析。结果表明:湖北碳交易收益率具有显著的波动集聚效应,上海碳交易收益率具有较低显著的波动集聚效应。湖北碳交易收益率和上海碳交易收益率在受到较大的收益率波动时较易出现大的收益率扰动,且其中湖北碳交易收益率受到波动后扰动效应最大;北京碳交易收益率和广东碳交易收益率在受到较大的收益率波动时不易出现大的收益率扰动,自身收益率稳定性高。湖北和上海碳交易收益率的GARCH模型具有平稳性。
In order to quantitatively describe the trading risks of China's carbon market and analyze the volatility of the rate of return in the carbon market,this paper selected the carbon trading price and rate of return of carbon trading in Hubei,Shanghai,Beijing and Guangdong from January 2016 to March 2021 as the research variables.Descriptive statistics,stationarity test,ARCH analysis and GARCH analysis were performed.The results show that Hubei carbon trading rate has a significant fluctuation agglomeration effect,while that of Shanghai produces a low fluctuation agglomeration effect.The yield of Hubei carbon trading and Shanghai carbon trading are prone to large yield disturbances when the yield of Hubei carbon trading is subject to large fluctuation,and the yield of Hubei carbon trading is subject to the largest disturbance effect.The yield rates of carbon trading in Beijing and Guangdong are not easily disturbed by large yield fluctuations.Also,the GARCH model of Hubei and Shanghai carbon exchange rate is stable.
作者
宋雅嵚
徐婕
吴义生
梁红静
李清雨
SONG Ya-qian;XU Jie;WU Yi-sheng;LIANG Hong-jing;LI Qing-yu(School of Economics and Management, Nanjing Institute of Technology, Nanjing 211167, China;Nanjing Forestry University, Nanjing 210037, China)
出处
《南京工程学院学报（社会科学版）》
2021年第4期54-59,共6页
Journal of Nanjing Institute of Technology：Social Science Edition
基金
江苏省社科应用研究精品工程课题(21SYB—054)
江苏高校哲学社会科学研究一般项目(2021SJA0449)
江苏高校哲学社会科学研究重大项目(2019SJZDA034)
南京工程学院科研基金青年项目(QKJ201805)
南京工程学院产业经济与创新管理研究院开放基金(JGKC202107)。
关键词
碳交易
收益率
波动性分析
市场风险
carbon financial transaction
yield
volatility analysis
market risk
