An empirical investigation on the risk-return relationship of carbon future market

被引：0
|
作者：
Ziran Li
Han Qiao
Nan Song
Lei Zu
机构：
[1] Southwestern University of Finance and Economics,Collaborative Innovation Center for the Innovation and Regulation of Internet
[2] CFFEX Institute for Financial Derivatives,Based Finance
[3] University of Chinese Academy of Sciences,School of Management
[4] Chinese Academy of Sciences,Directors’ Office, Institute of High Energy Physics
[5] Central University of Finance and Economics,School of Management Sciences and Engineering
来源：
Journal of Systems Science and Complexity | 2016年 / 29卷
关键词：
Carbon price; GARCH; information diffusion; risk-return;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper examines the risk-return relationship for the carbon future market during Phases I, II and III of the European Union Emission Trading Scheme (EU ETS). The risk factors derived from the newly developed LSW model, are embedded into a GARCH framework. This new specification is compared with several GARCH-M type models analyzing the risk-return relationship in the carbon market. The results show that the new specification consistently achieves a good fit and possesses superior explanatory power for the European Union Allowance (EUA) data. Some policy suggestions regarding market efficiency are also provided.
引用
收藏
页码：1057 / 1070
页数：13
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