An Empirical Investigation on the Risk-Return Relationship of Carbon Future Market

被引：2

作者：

Li Ziran ^{[1
,2
]}

Qiao Han ^{[3
]}

Song Nan ^{[4
]}

Zu Lei ^{[5
]}

机构：

[1] Southwestern Univ Finance & Econ, Collaborat Innovat Ctr Innovat & Regulat Internet, Chengdu 611130, Peoples R China

[2] CFFEX Inst Financial Derivat, Beijing 100033, Peoples R China

[3] Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China

[4] Chinese Acad Sci, Directors Off, Inst High Energy Phys, Beijing 100049, Peoples R China

[5] Cent Univ Finance & Econ, Sch Management Sci & Engn, Beijing 100081, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2016年 / 29卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Carbon price; GARCH; information diffusion; risk-return; TRADING VOLUME; PRICE DYNAMICS; VOLATILITY; DRIVERS; PREMIA; MODEL; FLOW;

D O I：

10.1007/s11424-015-4141-x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper examines the risk-return relationship for the carbon future market during Phases I, II and III of the European Union Emission Trading Scheme (EU ETS). The risk factors derived from the newly developed LSW model, are embedded into a GARCH framework. This new specification is compared with several GARCH-M type models analyzing the risk-return relationship in the carbon market. The results show that the new specification consistently achieves a good fit and possesses superior explanatory power for the European Union Allowance (EUA) data. Some policy suggestions regarding market efficiency are also provided.

引用

页码：1057 / 1070

页数：14

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