本文選題：中國低碳指數(shù) + 收益率波動(dòng)性��； 參考：《中南大學(xué)》2012年碩士論文

【摘要】：《京都議定書》生效以來,碳金融市場開始迅猛發(fā)展,最新的預(yù)測數(shù)據(jù)顯示,到2020年全球碳排放交易量會(huì)達(dá)到3.5萬億美元,或?qū)⒊^石油市場,成為最大的能源交易市場。我國是CDM項(xiàng)目市場上主要的供給國,發(fā)展的潛力巨大,目前已開啟了五省八市的低碳試點(diǎn),除了在北京、天津、上海、深圳等地,先后興建起的交易所有幾十家,主要是協(xié)助企業(yè)進(jìn)行CDM項(xiàng)目掛牌以及進(jìn)行自愿減排交易的嘗試。為助推我國碳產(chǎn)業(yè)定價(jià)機(jī)制的完善,中證指數(shù)有限公司、北京環(huán)境交易所、優(yōu)點(diǎn)資本攜手推出了中國低碳指數(shù),為蓬勃發(fā)展的清潔能源和科技領(lǐng)域,在資本市場樹立了標(biāo)桿。 本文通過對(duì)中國低碳指數(shù)進(jìn)行簡要介紹和現(xiàn)狀分析,發(fā)現(xiàn)中國低碳指數(shù)波動(dòng)劇烈,對(duì)中國低碳指數(shù)收益率序列進(jìn)行描述性統(tǒng)計(jì)和相關(guān)的檢驗(yàn)后發(fā)現(xiàn),中國低碳指數(shù)的收益率序列是平穩(wěn)的、不存在相關(guān)性,且具有0均值、左偏現(xiàn)象、“尖峰厚尾”以及存在ARCH效應(yīng)等特征。因此運(yùn)用GARCH類模型對(duì)其進(jìn)行建模,發(fā)現(xiàn)各模型的擬合狀況都很好,GARCH-M模型要優(yōu)于GARCH(1,1)模型,且在刻畫收益率序列的杠桿效應(yīng)上,EGARCH(1,1,1)模型優(yōu)于TARCH(1,1,1)模型。為了探究造成中國低碳指數(shù)收益率波動(dòng)的政策性原因,運(yùn)用波動(dòng)點(diǎn)鑒別方法找到中國低碳指數(shù)的異常波動(dòng)點(diǎn),在異常波動(dòng)點(diǎn)附近尋找可能引起異常波動(dòng)的重大政策事件,運(yùn)用事件研究方法分別從政策事件總體和各事件兩個(gè)方面研究對(duì)中國低碳指數(shù)的影響,結(jié)果發(fā)現(xiàn)重大政策事件對(duì)中國低碳指數(shù)有顯著的影響,且大多為負(fù)面影響。根據(jù)中國低碳指數(shù)的波動(dòng)特征和存在的政策效應(yīng),提出相應(yīng)的政策建議。
[Abstract]:Since the Kyoto Protocol came into effect, the carbon finance market has begun to grow rapidly, and the latest forecast data show that the volume of global carbon emissions will reach $3.5 trillion by 2020, which could overtake the oil market and become the largest energy trading market. China is a major supplier in the market for CDM projects and has huge potential for development. At present, it has launched low-carbon pilot projects in five provinces and eight cities. In addition to Beijing, Tianjin, Shanghai, Shenzhen and other places, dozens of exchanges have been built one after another. Mainly to assist enterprises in CDM project listing and voluntary emission reduction trading attempts. In order to improve the pricing mechanism of China's carbon industry, China Securities Index Co., Ltd., Beijing Environmental Exchange, the advantages of the capital jointly launched China's low-carbon index, for the vigorous development of clean energy and science and technology, in the capital market has set a benchmark. This paper briefly introduces and analyzes the current situation of China's low carbon index, and finds out that China's low carbon index fluctuates sharply, and makes descriptive statistics and relevant tests on China's low carbon index yield series. The yield sequence of China's low carbon index is stable and has no correlation, and it has the characteristics of zero mean, left deviation, "peak and thick tail" and ARCH effect. Therefore, the GARCH model is used to model it, and it is found that the GARCH-M model is better than the GARCH1 / 1) model, and the model is superior to the TARCHN 1 / 1) model in terms of the leverage effect of the rate of return series. In order to explore the policy reasons that cause the fluctuation of China's low carbon index yield, we use the method of volatility point identification to find the abnormal fluctuation point of China's low carbon index, and look for the major policy event that may cause the abnormal fluctuation near the abnormal fluctuation point. The influence of policy events on China's low carbon index is studied from two aspects of policy events and events. The results show that significant policy events have a significant impact on China's low carbon index, and most of them have negative effects on China's low carbon index. According to the fluctuation characteristics of China's low carbon index and the existing policy effects, the corresponding policy recommendations are put forward.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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