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本文利用Bluenext和ECX的经验数据,对欧盟碳排放权市场(EU-ETS)的价格行为特征进行了分析.研究表明:1)对EU-ETS市场收益率序列基本统计特征检验显示:碳收益率序列不服从正态分布,具有明显的有偏、尖峰、肥尾的非正态性和非线性的统计分布特征;2)对市场分形性的研究表明:该市场具有显著的统计自相似性,阶段性的、而非全过程的长期记忆性特征;3)对市场混沌性的研究表明:从关联维数看,EU-ETS并不存在低维混沌性,但结合最大Lyapunov指数检验及邻近返回检验证明欧盟碳排放权市场存在非收敛饱和混沌性.由此得出结论:欧盟碳排放权市场是一个具有分形与混沌特征的非线性动力系统,它不符合有效市场假说,因此不能用线性范式来研究市场价格行为、交易机制及政策制定.
Based on the empirical data of Bluenext and ECX, this paper analyzes the price behavior of EU-ETS.The research shows that: 1) The basic statistical analysis of the EU-ETS returns series shows that the carbon yield The sequence does not obey the normal distribution and has the obvious statistical distribution features of non-normal and non-linear distribution of biased, spiked and fat tails. 2) The research on the market fractal shows that this market has significant statistical self-similarity, But not the long-term memory characteristics of the whole process; 3) The research on the market chaos shows that EU-ETS does not have low-dimensional chaos from the correlation dimension, but the combination of the maximum Lyapunov exponent test and the neighboring return The result shows that the EU carbon emission right market is a nonlinear dynamical system with fractal and chaotic characteristics, which does not fit the efficient market hypothesis and therefore can not be used in the linear paradigm To study the market price behavior, trading mechanisms and policy-making.