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An empirical investigation on the risk-return relationship of carbon future market
Li; Ziran; Qiao; Han; Song N(宋楠); Song; Nan; Zu; Lei
2015
发表期刊JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY
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. © 2015 Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag Berlin Heidelberg
文章类型Article
关键词Carbon price Empirical investigation European union emission trading schemes Explanatory power GARCH Information diffusion Market efficiency Policy suggestions
DOI10.1007/s11424-015-4141-x
收录类别EI
WOS类目902.2 Codes and Standards ; 971 Social Sciences
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文献类型期刊论文
条目标识符http://ir.ihep.ac.cn/handle/311005/228914
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Li,Ziran,Qiao,et al. An empirical investigation on the risk-return relationship of carbon future market[J]. JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY,2015.
APA Li.,Ziran.,Qiao.,Han.,宋楠.,...&Lei.(2015).An empirical investigation on the risk-return relationship of carbon future market.JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY.
MLA Li,et al."An empirical investigation on the risk-return relationship of carbon future market".JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY (2015).
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