国际碳市场流动性研究
当前，发展低碳经济正成为世界各国寻求经济复苏，实现可持续发展的重要战略选择。《京都议定书》生效以来，随着全球“碳减排”需求量和碳交易市场规模的迅速扩大，碳排放权进一步衍生为具有投资价值和流动性的金融资产。流动性是度量市场绩效最基本的核心指标，是碳交易市场的基本属性。流动性的测算研究对投资者和市场监管者意义重大，这是论文选题的依据和出发点。论文的研究结论将为进行流动性测算提供理论基础，为市场监管者制定相关政策和制度提供信息，为投资者作出投资决策提供参考。论文遵循概念、理论、方法、实证的研究思路，主要工作包括：
(1) 介绍了碳市场形成的背景、诞生和几个主要的碳交易市场，并阐述了未来碳市场面临的不确定性；
(2) 阐述了什么是市场流动性、流动性测算方法、Martin流动性比率的计算方法以及周内效应所需要运用的非参数检验的Krusal-Willians检验；
(3) 利用基于配额的欧盟碳排放交易市场日价格和交易量数据，运用Martin流动性比率公式进行计算，运用图表、数理统计的方法，对欧盟碳市场各个期货合约的日流动性比率、月度平均流动性比率、年度平均流动性比率进行分析，可以发现，碳市场流动性总体走势不具有鲜明的阶段差异性，同一阶段合约的流动性也不具有一致性。对流动性的分布特征进行直观的描述，并进一步对碳市场流动性的到期效应以及周内效应进行检验，得到实证结果：碳期货合约的流动性具有鲜明的到期效应，但没有显著的周内效应。
关键词 欧盟碳市场；市场流动性；到期效应；周内效应
Abstract
Currently, the development of low-carbon economy become every countries seeking economic recovery and realizing the sustainable development of the important strategic choice. The Kyoto Protocol, along with the rapid expansion of the global Carbon Emission Reduction demand and the carbon market’s scale. Carbon emissions is derived for further investment value and the mobility of financial assets.Liquidity is the most basic market performance measurement index, is the core of basic properties of carbon trading market. To research the liquidity is significance to investors and market regulators , that is the basis and the starting point of this essay . This essay’s research conclusion will measure for liquidity provides the theoretical foundation,and provide information for the market regulator to formulate relevant policy and system, and provide reference for investors to making investment decisions.This essay’s research ideas based on concept, theory, methodology and empirical,research on the following aspects:
(1) Introduces the background of the carbon markets, birth and several main carbon trading market, and expounds the carbon market will confront uncertainty in the future;
(2) Expounds what is the market liquidity, liquidity measuring method , Martin liquidity ratio method for calculating and non-parameter test Krusal - Willians inspection which is the day-of-the-week effects required to use;
(3) Based on the content of the quota of European Climate Exchange’s market price and volume that this essay use Martin liquidity ratio formula to calculate,use diagrams, mathematical statistics method to analysis each of the ECX futures contracts' daily liquidity ratio,and the monthly average liquidity ratio,and the annual average liquidity ratio. We can find that: the carbon market liquidity overall situation don’t have distinct staged difference, and at the same stage of the contract’s liquidity also does not have consistency; To describe the distribution characteristics of liquidity, and further to verify the carbon market liquidity’s maturity effects and day-of-the-week effect that get the intuitive empirical results: the liquidily of carbon futures contract have distinct maturity effects and have non significant day-of-the-week effect.
Keywords European Climate Exchange (ECX); market liquidity; maturity effects; day-of-the-week effect
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