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沪深300股指期货与现货市场的非线性信息溢出与价格发现功能研究

ISSN号：1674-3059
期刊名称：财务与金融
时间：2013.6.6
页码：1-7
分类：N[自然科学总论]
作者机构：[1]Collaborative Innovation Center for the Innovation and Regulation of Internet-Based Finance, Southwestern University of Finance and Economics, Chengdu 611130, China, [2]CFFEX Institute for Financial Derivatives, Beijing 100033, China, [3]School of Management, University of Chinese Academy of Sciences, Beijing 100190, China, [4]Directors' Office, Institute of High Energy Physics, Chinese Academy of Sciences, Beijing 100049, China, [5]School of Management Sciences and Engineering, Central University of Finance and Economics, Beijing 100081, China
相关基金：This research is supported by the National Natural Science Foundation of China under Grant Nos. 71003057, 71003094 and 71373262, and Shanghai Key Laboratory of Intelligent Information Processing under Grant No. IIPL-2014-001.
相关项目：中国商品期货市场价格发现功能的动态变化研究

关键词：碳价格, GARCH, 信息散开, 风险回来, Carbon price, GARCH, information diffusion, risk-return.

中文摘要：

这份报纸在做贸易的欧盟排放的， II 和 III 策划的阶段(EU et ) 期间为碳未来市场检验风险回来关系。从最新发达的 LSW 导出的风险因素当模特儿，被嵌进一个 GARCH 框架。这个新说明与在碳市场分析风险回来关系的几个 GARCH-M 类型模型相比。新说明一致地完成的结果表演一好合适并且为欧盟津贴(EUA ) 数据拥有优异解释力量。关于市场效率的一些政策建议也被提供。

英文摘要：

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.

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