中文摘要：

运用资本资产定价模型（CAPM）分别分析欧盟排放贸易体系（EU ETS）和清洁发展机制（CDM）市场风险,通过Zipf方法研究以上两个市场不同预期收益下碳价的波动行为。对比结果显示：EU ETS市场系统风险基本稳定在0.07%左右,但是CDM市场却明显分为两个阶段,2009年1月进入市场的期货合约（DEC09～DEC12）系统风险小于EU ETS市场,而2011年后进入市场的期货合约DEC13、DEC14系统风险大于EU ETS市场,且具有较高的市场敏感度;而非系统风险,CDM市场始终大于EU ETS市场。虽然两个市场的超额收益率都较低,低于0.02%,但相比之下,CDM市场投资者预期收益要更高。两个市场价格涨跌都存在非对称现象,下跌概率要高于上涨概率。在较低的预期收益下,碳价涨跌受到了市场机制、外在因素（经济危机、环境政策）的影响;在高预期收益率下,相对CDM市场,EU ETS市场价格涨跌更为混乱,投资者对碳价变动认知更不确定,风险较大。

英文摘要：

The paper uses Capital Asset Pricing Model （CAPM）to analyze the market risk in European Union Emission Trading System （EU ETS） and Clean Development Mechanisms （CDM）and applies Zipf analysis technology to analyze the carbon price volatility in different expectations of returns in the two markets. The results show that the systematic risk of the EU ETS market is at around 0.07% ,but CDM market is clearly divided into two stages,the systematic risk of the futures contracts in the previous stage （DEC09-DEC12）is less than EUETS market,but systematic risk of the futures contracts that entered into the market is greater than the EUETS market and has a higher market sensitivity. However, as to the unsystematic risk, the CDM market is always greater than the EU ETS market. Abnormal returns in the two carbon markets are both lower than 0.02%, but CDM is higher. The probability of price down is higher than that of price up. Carbon price is ＂affected by market mechanism and external factors （economic crisis and environmental pohcies）in the case of low expectations of returns,but in the case of high expectations of returns,compared with the CDM market,the carbon price change in EU ETS market is more instable and risky.