EUA期货市场价格发现功能研究

发布时间：2018-02-12 15:34

本文关键词： 价格发现 EUA期货市场共同因子模型　出处：《暨南大学》2015年硕士论文　论文类型：学位论文

【摘要】：为了应对气候变化,在“总量管制与交易”(cap-and-trade)制度下,许多二氧化碳排放配额国际交易市场相继成立,但在这些市场中走在前列的是2005年成立的欧盟碳排放交易体系,其主要交易品种之一则是欧盟碳排放配额(European Union carbon emission allowance,简称EUA)。首先,本文对国内外关于期货市场价格发现功能的文献进行了整理和归纳,认为将价格发现定义为期货市场价格和同期现货市场价格间的领先—滞后关系是合理的,全文的理论分析和实证研究都是以此为基础;其次,阐述了价格发现的研究理论基础,主要包括持有成本理论、市场结构与价格发现间的关系和影响期货市场价格发现功能的因素;第三,分析了欧盟碳排放配额市场的发展现状、欧盟碳排放交易体系三阶段EUA的价格变化过程和原因以及经过分析认为EUA期货市场具有价格发现功能;第四,对EUA现货市场和期货市场间的价格发现进行了实证研究,以向量误差修正模型为基础,运用共同因子模型(信息份额模型和长短期模型)测度了在价格发现过程中期货市场和现货市场的贡献份额,并对分时间段的价格发现信息份额进行了实证研究,分析导致信息份额发生变化的原因。实证研究结果为:(1)信息份额模型显示在价格发现过程中,期货市场的信息份额为56.30%,大于现货市场的信息份额43.70%;长短期模型显示期货市场对共同因子的贡献比例为55.25%,大于现货市场的贡献比例44.75%,这说明期货市场在价格发现过程中处于主导地位,引领现货市场的价格变化。但是,EUA现货市场并不是单纯的“卫星市场”,仍然对价格发现过程有所贡献;(2)对EUA期货市场和现货市场的相对信息份额、相对交易成本和相对年化波动率(相对噪声交易者比例)三者进行回归分析发现,相对交易成本和相对年化波动率与相对信息份额呈负相关关系,这意味着交易成本越低、流动性越高、噪声交易者比例越低,期货市场在价格发现过程中所占的信息份额越大。
[Abstract]:In response to climate change, many international markets for carbon dioxide emissions quotas have been set up under cap-and-trade (cap-and-trade) regimes, but at the forefront of these markets are the European Union's carbon trading system, which was launched in 2005. One of its main trading varieties is the European Union carbon emission allowance. Firstly, this paper collates and summarizes the literature on the function of price discovery in futures market at home and abroad. It is reasonable to define price discovery as the leading-lag relationship between futures market price and spot market price in the same period. The theoretical analysis and empirical research of this paper are based on this. Secondly, the theoretical basis of price discovery is expounded. It mainly includes the holding cost theory, the relationship between market structure and price discovery, and the factors that affect the function of price discovery in futures market. Thirdly, the paper analyzes the current situation of the carbon emission quota market in the European Union. The price change process and reason of EUA in three stages of EU carbon emissions trading system and the analysis of EUA futures market have the function of price discovery. 4th, this paper makes an empirical study on the price discovery between EUA spot market and futures market. Based on vector error correction model, this paper measures the contribution of futures market and spot market in the process of price discovery by using common factor model (information share model and short and long term model). An empirical study on the information share of price discovery in different time periods is carried out to analyze the reasons that lead to the change of information share. The result of the empirical study is: 1) the information share model is displayed in the process of price discovery. The information share of the futures market is 56.30, larger than that of the spot market, 43.70; the long-term and short-term models show that the contribution of the futures market to common factors is 55.25, which is greater than the contribution of the spot market 44.75, which indicates that the futures market is found in the price. Is in a dominant position in the process, Lead the price changes in the spot market. But the spot market is not a simple "satellite market", and still contributes to the price discovery process.) the relative information share of the EUA futures market and the spot market. The regression analysis of relative transaction cost and relative annual volatility (relative noise trader ratio) shows that relative transaction cost and relative annual volatility are negatively correlated with relative information share, which means that the lower the transaction cost, the lower the transaction cost. The higher the liquidity, the lower the proportion of noise traders, and the greater the share of information in the price discovery process.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：X196;F831.53

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