本文選題：碳金融 + 波動(dòng)溢出��； 參考：《廣東商學(xué)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(chǎng)價(jià)格走勢(shì)同全球經(jīng)濟(jì)形勢(shì)逐漸趨于一致。近幾年金融危機(jī)頻發(fā)，全球金融市場(chǎng)價(jià)格普遍大幅下跌，碳金融市場(chǎng)亦未能幸免，碳金融市場(chǎng)的代表性產(chǎn)品CER(核證減排單位)價(jià)格下跌、波動(dòng)幅度加劇、交易量萎縮。根據(jù)波動(dòng)溢出理論，金融市場(chǎng)的波動(dòng)不僅受到自身歷史波動(dòng)程度的影響，還可能受到其它金融市場(chǎng)的波動(dòng)制約。從表象看碳金融市場(chǎng)很有可能受到其它金融市場(chǎng)波動(dòng)溢出的影響，但國(guó)內(nèi)還無(wú)相關(guān)實(shí)證結(jié)論證實(shí)。同時(shí)針對(duì)傳統(tǒng)的線性理論和波動(dòng)理論對(duì)波動(dòng)溢出效應(yīng)研究的缺陷，Copula函數(shù)開始引入波動(dòng)溢出效應(yīng)的研究，為波動(dòng)溢出效應(yīng)分析研究提供一種新的有效工具。為了檢驗(yàn)國(guó)際金融市場(chǎng)對(duì)碳金融市場(chǎng)波動(dòng)溢出效應(yīng)是否存在，并嘗試新的波動(dòng)溢出研究方法，本文選取股票、匯率和石油三個(gè)市場(chǎng)共十三組數(shù)據(jù)，利用變結(jié)構(gòu)Copula理論，，分析三個(gè)金融市場(chǎng)對(duì)CER市場(chǎng)的波動(dòng)溢出效應(yīng)。 實(shí)證結(jié)果表明，三個(gè)金融市場(chǎng)對(duì)CER市場(chǎng)普遍存在波動(dòng)溢出效應(yīng)，只是波動(dòng)溢出時(shí)間和強(qiáng)度各有不同。股票市場(chǎng)同CER市場(chǎng)的波動(dòng)溢出效應(yīng)第一次發(fā)生的時(shí)間大多數(shù)在2008年8月份以后，就是美國(guó)次貸危機(jī)的高峰期間，Z統(tǒng)計(jì)量絕對(duì)值相對(duì)較大說(shuō)明波動(dòng)溢出效應(yīng)強(qiáng)烈，但2010年歐債危機(jī)期間股票市場(chǎng)對(duì)CER市場(chǎng)的波動(dòng)溢出效應(yīng)檢查結(jié)果相比次貸危機(jī)時(shí)期并不突出。匯率市場(chǎng)同CER市場(chǎng)的第一次波動(dòng)溢出效應(yīng)發(fā)生時(shí)間普遍要早于股票市場(chǎng)，而且對(duì)歐債期間變結(jié)構(gòu)點(diǎn)大多通過(guò)了Z統(tǒng)計(jì)檢驗(yàn)，說(shuō)明匯率波動(dòng)信息能夠快速傳遞到CER市場(chǎng)且持續(xù)時(shí)間比較長(zhǎng)，但從Z統(tǒng)計(jì)量絕對(duì)值來(lái)看波動(dòng)溢出強(qiáng)度不如股市。原油市場(chǎng)除了WTI其它兩個(gè)對(duì)CER市場(chǎng)的波動(dòng)溢出效應(yīng)則并不顯，其中OPEC對(duì)CER的變點(diǎn)結(jié)構(gòu)檢測(cè)結(jié)果只有一個(gè)顯著，說(shuō)明幾乎不存在波動(dòng)溢出效應(yīng)。
[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(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F831.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 薛帆;碳排放權(quán)市場(chǎng)與石油市場(chǎng)相關(guān)性研究[D];暨南大學(xué);2015年

本文編號(hào)：1870160