国际碳市场有效性研究
摘 要
世界各国实施《京都议定书》的减排目标使温室气体产生了价值,于是在气候变化领域正逐渐形成以温室气体为商品的碳市场,并正在创造21世纪的新财富。碳交易市场的迅速发展，大大促进了全球清洁技术的开发和运用，并逐渐成为推动低碳经济发展最为重要的机制。在此背景下，本文分析了国际碳市场的有效性，主要研究工作包括：
1.介绍了碳市场的基本概况，选取了欧盟2005年到现在二氧化碳期货市场价格作为研究对象，以检验碳市场是否符有效特征为目标。
2.利用时间序列自相关性分析法，游程检验，单位根和Hurst指数的方法进行检验。这四种检验的结果是一致的：碳市场并非是随机游走的，从而得出国际碳市场虽然经过6年的发展，而且发展速度迅速，但还未达到市场弱势有效。
关键词 欧盟排放交易计划；市场有效性；游程检验；Hurst指数；单位根；时间序列自相关性分析法
Abstract
The World implements the "Kyoto Protocol “, its carbon emission reduction targets brings the value to greenhouse gas. so it gradually formed the carbon market that greenhouse gases are as a commodity in the field of climate change, and create the new wealth of the 21st century. The rapid developments of the carbon trading market greatly contributed to the global clean technologies’ exploitation and application, and promote low carbon economic to become the most important mechanism. In this background , the author analyzes the effectiveness of the international carbon market. the mainly research work:
The first part will give an overview of carbon market. it focus on the research market price of carbon futures in European Union from 2005 to present. Make the goal to test whether the carbon market meet the effective features.
The second part use the in time series analysis method, runs test, unit root and the Hurst index these methods to test. The reader can find that the final test results of these four methods is the same: the carbon market is not a random walk, thus we get that although the international carbon market has got through six years of development, and the pace of development is so rapid, it has not reached the weak efficient market yet.
Keywords EUETS Market Efficiency Runs test Hurst ADF In time series analysis method
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