欧盟碳期货市场效率研究_张原锟.pdf-solarbe文库

资源描述：

研 j 分类号 F831.5 单位代码 10183 研究生学号 2014911030 密级公开吉林大学博士学位论文欧盟碳期货市场效率研究 Research on the Efficiency of EU Carbon Futures Market 作者姓名张原锟专业人口、资源与环境经济学研究方向环境经济学指导教师于潇教授培养单位东北亚学院 2022 年 5 月欧盟碳期货市场效率研究 Research on the Efficiency of EU Carbon Futures Market 作者姓名张原锟专业名称人口、资源与环境经济学研究方向环境经济学指导教师于潇教授学位类别经济学博士培养单位东北亚学院论文答辩日期 2022 年 5 月 20 日授予学位日期年月日答辩委员会组成姓名职称工作单位主席边恕教授辽宁大学委员马延吉研究员中科院东北地理所王胜今教授吉林大学东北亚学院王晓峰教授吉林大学东北亚学院陈英姿教授吉林大学东北亚学院吉林大学博士学位论文原创性声明本人郑重声明所呈交学位论文，是本人在指导教师的指导下，独立进行研究工作所取得的成果。除文中已经注明引用的内容外，本论文不包含任何其他个人或集体已经发表或撰写过的作品成果。对本文的研究做出重要贡献的个人和集体，均已在文中以明确方式标明。本人完全意识到本声明的法律结果由本人承担。学位论文作者签名日期 2022 年 5 月 10 日关于学位论文使用授权的声明本人完全了解吉林大学有关保留、使用学位论文的规定，同意吉林大学保留或向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和借阅；本人授权吉林大学可以将本学位论文的全部或部分内容编入有关数据库进行检索，可以采用影印、缩印或其他复制手段保存论文和汇编本学位论文。（保密论文在解密后应遵守此规定）论文级别 □ 硕士 ■ 博士学科专业人口、资源与环境经济学论文题目欧盟碳期货市场效率研究作者签名指导教师签名 2022 年 5 月 10 日作者联系地址（邮编）作者联系电话指导教师对博士论文的评阅意见论文题目欧盟碳期货市场效率研究作者姓名张原锟专业人口、资源与环境经济学导师姓名于潇职称教授所在单位吉林大学东北亚学院对论文的工作过程介绍和学术评语对论文是否达到学位标准的意见签名年月日张原锟同学顺利完成博士研究生课程和相关培养流程，较好掌握了人口、资源与环境经济学基础理论和研究方法。在导师的指导下，该同学阅读了环境经济学、温室气体减排、绿色金融等相关领域的文献。与此同时，撰写了“欧盟碳期货到期日效应研究”等相关论文，在深入研究欧盟碳期货交易市场的基础上，经与导师研究确定，以“欧盟碳期货市场效率研究”为博士论文选题，为此，购买了 2005年 -2020年欧盟碳期货市场三个周期的交易数据，基于这些数据对欧盟碳期货市场效率进行实证研究。论文总体上从四个方面对欧盟碳期货市场效率进行了深入分析，分别是欧盟碳期货市场的信息效率、运行效率、价格发现效率、套期保值效率，在此基础上对欧盟碳期货市场的综合效率进行评估。论文最后，就中国正在建立的全国统一的碳交易市场提出了相关建议，特别是在吸取欧盟碳期货市场三个周期不同政策的实践经验，对我国建立有效的碳交易市场提出了有针对性的政策建议。论文选题具有一定理论意义和现实意义，研究框架理论基础扎实，研究数据资料来源可靠，实证研究方法合理，论文结构严谨，写作规范，研究结论有一定现实意义。该论文达到博士学位论文标准。 2022 5 10 指导小组对博士论文的评阅意见论文题目欧盟碳期货市场效率研究作者姓名张原锟专业人口、资源与环境经济学指导小组成员职称所在单位于潇教授吉林大学东北亚学院王晓峰教授吉林大学东北亚学院陈英姿教授吉林大学东北亚学院对论文的工作过程介绍和学术评语对论文是否达到学位标准的意见小组成员签名年月日该同学研究欧盟碳期货市场效率问题，选题具有一定理论意义和现实意义。作者从信息、市场运行、价格发现、套期保值等四个方面分析欧盟碳期货市场效率，并基于此对中国建设统一的碳期货交易市场提出了相关建议。论文结构严谨，研究框架清晰，数据资料可靠，模型方法可行，写作规范。该论文达到博士学位论文标准。 2022 5 10 答辩决议书 论文题目欧盟碳期货市场效率研宄 作者姓名张原锟专业人口、资源与环境经济学学院东北亚研究院 姓名职称工作单位是否博导 主席  边恕 教授辽宁大学是 马延吉研究员中科院东北地理所是 王胜今 教授吉林大学东北亚学院是 王晓峰 教授吉林大学东北亚学院  是 委员 陈英姿教授吉林大学东北亚学院是 答辩委员会对论文及答辩情况的评语  论文以 “欧盟碳期货市场效率研究” 为题进行探讨，具有较强的理论价值和现实意义。 论文在系统梳理相关文献与理论的基础上，同时对欧盟碳期货市场的信息效率、运行效率、价格发现效率和套期保 值效率进行分别研宄，既填补欧盟碳期货市场多效率研究的空白。又是对期货市场多效率综合研究的重要补充。通 过实证分析，文章得出一是欧盟碳期货市场的四个效率之间具有复杂的关联性；二是从总体上看，欧盟碳期货市 场的效率水平是由低到高不断发展的，符合期货市场效率的一般发展规律；三是从总体上看，欧盟碳期货市场四个 效率的效率水平具有较高的一致性，但在一些因素的影响下也出现了不一致的情况；四是从总体上看，欧盟碳期货 市场四个效率的效率水平变化模式并不都是相同的；五是欧盟碳期货市场效率的发展和变化情况既遵循期货市场效 率的一般发展规律，同时也具有自己的独特性。具有创新意义。 本文逻辑清晰，框架结构合理，方法得当，资料翔实，语言流畅，符合经济学论文学术规范。表明作者具备比较扎 实的经济学专业基础，掌握相关研宄的主流方法，具有一定的独立从事科学研宄的能力。 对答辩委员会提出的问题，作出了认真地回答，答辩委员会委员对此表示满意。 经答委员会委员的认真评议和无记名投票，一致同意通过论文答辩。答辩委员会认为该论文已经达到经济学博士 学位论文所要求的学术水平，建议授予其经济学博士学位。 I 摘要欧盟碳期货市场效率研究当前气候变化问题已经成为影响人类生存与发展的关键性问题， 1992 年联合国大会通过了联合国气候变化框架公约，而 1997 年通过的京都议定书首次规定了发达国家的定量减排目标，并为其减排活动建立了排放交易机制、联合履约机制以及清洁发展机制。截至 2021 年 1 月，全球共有 24 个运行中的碳市场，覆盖了全球 16的温室气体排放。其中欧盟于 2003 年建立的超国家级强制减排排放交易体系（简称 EU-ETS）是目前全球运行时间最长、成交量最大、体系最完善、一直占据绝对主导地位的碳排放交易市场。当前 EU-ETS 已经完成了三个阶段的运行，正处于第四阶段。在交易产品方面，其开展了碳现货、期货和其他衍生产品的交易，其中期货交易占 90以上，是 EU-ETS 最重要的组成部分。目前，欧盟碳期货市场的运行正逐渐规范化、成熟化，是全球发展最好的碳期货市场。从 2009 年到 2020 年，中国政府先后提出了三次明确的温室气体减排目标，其中在 2020 年首次提出了对温室气体排放总量进行控制的减排目标，承诺在 2030 年前完成“碳达峰”，在 2060 年前实现“碳中和”。自 2021 年 1 月 1 日开始，中国国家碳交易体系投入运营，标志着全球最大的碳交易市场正式上线。当前中国的碳交易体系仅有现货交易市场，尚未建立期货交易市场，交易体系尚不完善，存在一定问题，而开展碳期货交易将是有效的解决办法。从 2015 年至 2021 年，中国不断推进碳期货市场建设的准备工作，规划支持广州建设绿色金融改革创新试验区，建立中国首个碳期货交易所。由此可见，未来在中国推出碳期货产品以培育多层次的碳交易市场，不断完善中国的碳交易体系，从而改变中国在国际碳交易价值链中的低端地位，逐步争取在国际碳交易市场上掌握主动权已经是大势所趋。在研究的理论意义方面，已有欧盟碳期货市场效率方面的研究仅是针对一种或两种效率的研究，本文同时对欧盟碳期货市场的信息效率、运行效率、价格发 II 现效率和套期保值效率进行分别研究，这可以填补欧盟碳期货市场多效率研究的空白。同时本文对欧盟碳期货市场的四个效率进行综合研究，这既可以填补欧盟碳期货市场多效率综合研究的空白，又是对期货市场多效率综合研究的重要补充。在研究的现实意义方面，本文对欧盟碳期货市场的效率问题进行了全面、系统、综合性研究。一是可以给予欧盟碳期货市场的实际运行情况和发展水平一个客观、公正的评价，找出影响欧盟碳期货市场效率的相关因素，从而为在中国建立和发展碳期货市场时制定相关政策提供研究成果依据。二是能够加强履约企业和投资者对于碳期货市场的认知与掌控能力，为交易所和监管机构制定相关管理办法提供更多的实证参考和细节信息，从而降低投资风险，保障碳期货市场发挥出应有的功能。三是通过总结欧盟碳期货市场运行与发展的经验和教训，有助于中国在碳期货市场的建设和发展过程中做好顶层设计，提升碳期货市场的效率水平，保障碳期货市场的顺利运行和有序发展。本文按照“研究基础→研究框架→实际研究”的逻辑顺序对欧盟碳期货市场的效率进行了多方面、多角度的综合性分析，具体内容包括 9 个章节。其中，第 1 章为绪论，包括研究背景与意义，文献综述，研究目标与拟解决问题，研究思路与主要内容，研究范围与数据来源，研究方法、创新与不足；第 2 章为理论基础与研究的框架体系构建，该章首先介绍了研究的理论基础，其次构建了欧盟碳期货市场效率研究的体系框架；第 3 章为欧盟碳期货市场发展情况概述，主要介绍了欧盟碳期货市场的发展历程、基本组织结构和基本运行情况；第 4 章至第 7 章为欧盟碳期货市场的信息效率、运行效率、价格发现效率和套期保值效率的分别研究，分别包括一般理论分析和实证分析两部分；第 8 章为欧盟碳期货市场效率的综合分析，该章从理论和实证两个方面对欧盟碳期货市场的四个效率进行了综合分析；第 9 章为研究结论与启示。本文的主要研究结论及启示如下第一，欧盟碳期货市场的四个效率之间具有复杂的关联性。因此，中国在建立和发展碳期货市场时，也要综合、系统、全面的把握这四个效率对中国碳期货市场效率的复杂影响。第二，从总体上看，欧盟碳期货市场的效率水平是由低到高不断发展的，符合期货市场效率的一般发展规律。同时，其较高的套期保值效率水平也体现了碳 III 期货市场的特殊性。因此，中国在建立和发展碳期货市场时，应当大胆尝试，可以采取模拟交易、试验交易、正式交易三步走的方式使中国碳期货市场早日建立起来，促进整个碳交易体系的良性发展。第三，从总体上看，欧盟碳期货市场四个效率的效率水平具有较高的一致性，但在一些因素的影响下也出现了不一致的情况。因此，中国在建立和发展碳期货市场时，有必要做好市场机制的顶层设计，从根本上保障市场的正常运行；保持减排政策的连续性和稳定性，降低政策缺失或大幅变更对市场的负面影响；做好应对突发事件的风险防范预案，提高市场应对各种风险冲击的能力。第四，从总体上看，欧盟碳期货市场四个效率的效率水平变化模式并不都是相同的。其中，运行效率和价格发现效率的变化模式具有较强的同一性，原因可能是由于两者均与市场的流动性关系密切。因此，中国在建立和发展碳期货市场时，可以通过减小最小报价单位，引入做市商制度，鼓励履约企业和金融机构积极参与交易等方式来增强市场的流动性，从而促进中国碳期货市场运行效率和价格发现效率水平的提升。第五，欧盟碳期货市场效率的发展和变化情况既遵循期货市场效率的一般发展规律，同时也具有自己的独特性。因此，中国在建立和发展碳期货市场时，既要参考欧盟碳期货市场发展的经验和教训，又要立足于中国碳交易体系发展的实际情况，还要充分发挥中国特色社会主义市场经济的制度优势，从而走出一条具有中国特色的碳期货市场效率提升之路。关键词欧盟碳期货市场，信息效率，运行效率，价格发现效率，套期保值效率 V Abstract Research on the Efficiency of EU Carbon Futures Market At present, climate change has become a key issue affecting human survival and development. In 1992, the United Nations General Assembly adopted the United Nations Framework Convention on Climate Change, and the Kyoto Protocol adopted in 1997 set the quantitative emission reduction targets of developed countries for the first time, and established the emission trading mechanism, joint implementation mechanism and clean development mechanism for their emission reduction activities. As of January 2021, there are 24 active carbon markets in the world, covering 16 of global greenhouse gas emissions. Among them, the super national mandatory emission reduction trading system EU-ETS established by the EU in 2003 is the carbon emission trading market with the longest running time, the largest trading volume, the most perfect system and the absolute dominant position in the world. At present, EU- ETS has completed three phases of operation and is in the fourth phase. In terms of trading products, it has carried out the trading of carbon spot, futures and other derivatives, of which futures trading accounts for more than 90, which is the most important part of EU-ETS. At present, the operation of EU carbon futures market is gradually standardized and mature, it is the best developed carbon futures market in the world. From 2009 to 2020, the Chinese government has put forward three clear greenhouse gas emission reduction targets. Among them, in 2020, the Chinese government put forward the emission reduction target of controlling the total amount of greenhouse gas emissions for the first time, and promised to achieve “carbon peak“ by 2030 and “carbon neutralization“ by 2060. Since January 1, 2021, China s national carbon trading system has been put into operation, marking the official launch of the world s largest carbon trading market. At present, China s carbon trading system only has the spot trading VI markets, and the futures trading market has not been established. The trading system is not perfect and there are some problems, and carrying out carbon futures trading will be an effective solution. From 2018 to 2021, China has continuously promoted the preparations for the construction of carbon futures market, planned to support the construction of green financial reform and innovation pilot zone in Guangzhou, and established China s first carbon futures exchange. Therefore, it is a general trend to launch carbon futures products in China in the future to cultivate a multi-level carbon trading market, constantly improve China s carbon trading system, so as to change China s low-end position in the international carbon trading value chain, and gradually strive for the initiative in the international carbon trading market. In terms of theoretical significance, the existing research on the efficiency of EU carbon futures market is only for one or two types of efficiency. In this dissertation, the information efficiency, operation efficiency, price discovery efficiency and hedging efficiency of the EU carbon futures market are studied separately, which can fill the gap of multi-efficiency research of EU carbon futures market. At the same time, this dissertation makes a comprehensive study on the four types of efficiency of the EU carbon futures market. This can not only fill the gap in the comprehensive research on the multi-efficiency of the EU carbon futures market, but also an important supplement to the comprehensive research on the multi-efficiency of the futures market. In terms of practical significance, this dissertation makes a comprehensive, systematic and comprehensive study on the efficiency of EU carbon futures market. First, it gives an objective and fair evaluation of the actual operation and development level of the EU carbon futures market, and finds out the relevant factors affecting the efficiency of the EU carbon futures market, which provides a research basis for formulating relevant policies when establishing and developing the carbon futures market in China. Second, it can strengthen the cognition and control ability of performing enterprises and investors on the carbon futures market, and provide more empirical reference and detailed information for exchanges and regulators to formulate VII relevant management measures, so as to reduce investment risks and ensure that the carbon futures market plays its due role. Third, it summarizes the experience and lessons of the operation and development of the EU carbon futures market, which will help China to do a good job in the top-level design in the construction and development of the carbon futures market, improve the efficiency level of the carbon futures market, and ensure the smooth operation and orderly development of the carbon futures market. According to the logical sequence of “research basis → research framework → practical research“, this dissertation makes a comprehensive analysis on the efficiency of EU carbon futures market from many aspects and perspectives. The specific content includes 9 chapters Among them, Chapter 1 is the introduction, including research background and significance, literature review, research objectives and problems to be solved, research ideas and main contents, research scope and data sources, research methods, innovations and deficiencies. Chapter 2 is the theoretical basis and research framework system construction. This chapter first introduces the theoretical basis of the research, and then constructs the system framework of EU carbon futures market efficiency research. Chapter 3 is an overview of the development of EU carbon futures market. This chapter mainly introduces the development process, basic organizational structure and basic operation of EU carbon futures market. Chapter 4 to Chapter 7 are the research on the information efficiency, operation efficiency, price discovery efficiency and hedging efficiency of the EU carbon futures market. It includes two parts general theoretical analysis and empirical analysis. Chapter 8 is a comprehensive analysis of the efficiency of the EU carbon futures market. This chapter makes a comprehensive analysis of the four types of efficiency of the EU carbon futures market from both theoretical and empirical aspects. Chapter 9 is the research conclusion and enlightenment. The main conclusions and Enlightenment of this paper are as follows First, there is a complex correlation between the four types of efficiency of the EU carbon futures market. Therefore, when establishing and developing the carbon futures VIII market, China should also comprehensively, systematically and comprehensively grasp the complex impact of these four types of efficiency on the efficiency of China s carbon futures market. Second, on the whole, the efficiency level of EU carbon futures market is developing from low to high, which is in line with the general development law of futures market efficiency. Therefore, when establishing and developing the carbon futures market, China should make a bold attempt. It can take the three-step approach of simulated trading, experimental trading and formal trading to establish China s carbon futures market as soon as possible and promote the healthy development of the whole carbon trading system. Third, on the whole, the efficiency levels of the four types of efficiency of the EU carbon futures market are highly consistent, but there are also inconsistent situations under the influence of some factors. Therefore, when China establishes and develops the carbon futures market, it is necessary to do a good job in the top-level design of the market mechanism to fundamentally ensure the normal operation of the market. And maintain the continuity and stability of emission reduction policies and reduce the negative impact of missing or significant changes in policies on the market. And do a good job in the risk prevention plan to deal with emergencies, so as to improve the market s ability to deal with various risk shocks. Fourth, on the whole, the change patterns of the four types of efficiency of the EU carbon futures market are not the same. Among them, the change patterns of operational efficiency and price discovery efficiency have a strong identity, the reason may be that both are closely related to the liquidity of the market. Therefore, when establishing and developing the carbon futures market, China can enhance the liquidity of the market by reducing the minimum quotation unit, introducing the market maker system, and encouraging performing enterprises and financial institutions to actively participate in trading, so as to promote the operation efficiency and price discovery efficiency of China s carbon futures market. IX Fifth, the development and changes of the efficiency of the EU carbon futures market not only follow the general development law of the efficiency of the futures market, but also have their own uniqueness. Therefore, when China establishes and develops the carbon futures market, it should not only refer to the experience and lessons of the development of the EU carbon futures market, but also be based on the actual situation of the development of China s c