本文選題：碳金融 + 波動溢出　； 參考：《廣東商學院》2013年碩士論文

【摘要】：隨著全球金融一體化的發(fā)展，碳金融市場價格走勢同全球經(jīng)濟形勢逐漸趨于一致。近幾年金融危機頻發(fā)，全球金融市場價格普遍大幅下跌，碳金融市場亦未能幸免，碳金融市場的代表性產(chǎn)品CER(核證減排單位)價格下跌、波動幅度加劇、交易量萎縮。根據(jù)波動溢出理論，金融市場的波動不僅受到自身歷史波動程度的影響，還可能受到其它金融市場的波動制約。從表象看碳金融市場很有可能受到其它金融市場波動溢出的影響，但國內(nèi)還無相關實證結論證實。同時針對傳統(tǒng)的線性理論和波動理論對波動溢出效應研究的缺陷，Copula函數(shù)開始引入波動溢出效應的研究，為波動溢出效應分析研究提供一種新的有效工具。為了檢驗國際金融市場對碳金融市場波動溢出效應是否存在，并嘗試新的波動溢出研究方法，本文選取股票、匯率和石油三個市場共十三組數(shù)據(jù)，利用變結構Copula理論，，分析三個金融市場對CER市場的波動溢出效應。 實證結果表明，三個金融市場對CER市場普遍存在波動溢出效應，只是波動溢出時間和強度各有不同。股票市場同CER市場的波動溢出效應第一次發(fā)生的時間大多數(shù)在2008年8月份以后，就是美國次貸危機的高峰期間，Z統(tǒng)計量絕對值相對較大說明波動溢出效應強烈，但2010年歐債危機期間股票市場對CER市場的波動溢出效應檢查結果相比次貸危機時期并不突出。匯率市場同CER市場的第一次波動溢出效應發(fā)生時間普遍要早于股票市場，而且對歐債期間變結構點大多通過了Z統(tǒng)計檢驗，說明匯率波動信息能夠快速傳遞到CER市場且持續(xù)時間比較長，但從Z統(tǒng)計量絕對值來看波動溢出強度不如股市。原油市場除了WTI其它兩個對CER市場的波動溢出效應則并不顯，其中OPEC對CER的變點結構檢測結果只有一個顯著，說明幾乎不存在波動溢出效應。
[Abstract]:With the development of global financial integration, the price trend of carbon financial market is gradually consistent with the global economic situation. In recent years, with the frequent financial crisis, the prices of global financial markets have fallen sharply, and the carbon financial markets have not been spared. The prices of CERs (certified emission reduction units), the representative products of the carbon financial markets, have fallen, the volatility has intensified, and the volume of transactions has shrunk. According to the theory of volatility spillover, the volatility of financial market is not only affected by its own historical fluctuation degree, but also by the fluctuation of other financial markets. The carbon financial market is likely to be affected by volatility spillovers from other financial markets, but there is no empirical evidence in China. At the same time, aiming at the defects of traditional linear theory and volatility theory in the research of volatility spillover effect, the Copula function began to introduce the research of volatility spillover effect, which provides a new effective tool for the analysis of volatility spillover effect. In order to test the existence of volatility spillover effect of international financial market on carbon financial market, and to try a new research method of volatility spillover, this paper selects thirteen groups of data from stock, exchange rate and oil markets, and uses variable structure Copula theory. This paper analyzes the volatility spillover effects of three financial markets on CER market. The empirical results show that volatility spillover effect exists in the three financial markets on CER market, but the time and intensity of volatility spillover are different. The first time of volatility spillover effect between stock market and CER market is after August 2008, and the absolute value of volatility spillover effect is relatively large during the peak period of the subprime mortgage crisis in the United States, which indicates that the volatility spillover effect is strong. However, during the European debt crisis in 2010, the volatility spillover effect of the stock market to the CER market was not prominent compared with the subprime mortgage crisis. The first volatility spillover effect between the exchange rate market and the CER market is generally earlier than that in the stock market, and most of the variable structure points during the period of European debt have passed the Z statistical test. It shows that the exchange rate fluctuation information can be transmitted to the CER market quickly and for a long time, but from the absolute value of Z statistics, the volatility spillover intensity is not as strong as the stock market. The volatility spillover effect of OPEC on CER market is not obvious except that of WTI, and there is only one significant change point structure detection result of CER by OPEC, which indicates that there is almost no volatility spillover effect.
【學位授予單位】：廣東商學院
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F831.51

【引證文獻】

相關碩士學位論文 前1條

1 薛帆;碳排放權市場與石油市場相關性研究[D];暨南大學;2015年

本文編號：1870160