基于趋势调节的碳排放权市场周内效应研究
On the Weekday Effect of the Carbon Emission Rights Market Based on the Trend Moderation Effect
云坡 1刘程慧1
作者信息
- 1. 合肥大学经济与管理学院,合肥 230601
- 折叠
摘要
以湖北碳排放权市场为对象,使用2014年4月28日到2024年3月25日共2 376个数据样本点,构建具有趋势调节的T-AR(1)-GARCH(1,1)模型,刻画碳排放权市场周内效应形式及其影响关系.结果显示,湖北碳排放权市场在高波动和低波动下分别呈现正向和负向的周一效应.即当市场波动较高时,周一收益在市场下降趋势下会导致市场收益上涨12.8%,而当市场波动较低时,周一收益则导致市场收益下降2.3%.特别是周一效应被证明受到自身长期滞后收益的负向影响,以及欧盟碳价的正向影响.研究表明碳排放权市场价格并非随机游走,而是呈现周内效应特征,为研判碳市场效率,开展量化投资等提供参考.
Abstract
This article focuses on the Hubei carbon emission rights market,constructs an T-AR(1)-GARCH(1,1)model with trend moderation,and explores the forms and impact relationships of the weekday effects.The results show that the Hubei carbon market exhibits positive and negative Monday effects under high and low volatility conditions,respectively.That is,under the higher and lower mar-ket fluctuations,Monday's returns will lead to a 12.8%increase and a 2.3%decrease in carbon mar-ket returns,respectively.Especially,the Monday effect has been proven to be negatively affected by long-term lagged terms,and positive impacted by European carbon price.Research has convinced that the prices of Hubei carbon market do not follow random walks,but exhibit significant wandering weekday effects.The results provide reference for evaluating the carbon market efficiency and making investment decisions.
关键词
碳排放权价格/波动趋势/周内效应/T-AR(1)-GARCH(1,1)模型Key words
carbon emission price/fluctuation trend/weekday effect/T-AR(1)-GARCH(1,1)model引用本文复制引用
出版年
2024
NETL
NSTL
万方数据