School of Economics and Management, Beihang University, Beijing 100191, China.
School of Economics and Management, Beihang University, Beijing 100191, China; Key Laboratory of Complex System Analysis, Management and Decision (Beihang University), Ministry of Education, Beijing 100191, China.
Sci Total Environ. 2021 May 15;769:144707. doi: 10.1016/j.scitotenv.2020.144707. Epub 2021 Jan 19.
Different from the previous studies that evaluated the degrees of carbon market efficiency as constant, the novelty of this work is to capture degrees of market efficiency that are time-varying over time and its static and dynamic relationship with liquidity in China's five emissions trading system (ETS) pilots (Beijing, Guangdong, Shanghai, Shenzhen and Hubei) from January 2017 to June 2019. For this purpose, this work employs the generalized autoregressive conditional heteroscedasticity in mean (GARCH(1,1)-M) model with state space time-varying parameter (Kalman filter), Modified Amihud illiquidity ratio, fixed effect variable intercept panel regression model and panel impulse response analysis. The empirical results are as follows: (1) Shenzhen pilot is the best performer for the market efficiency, followed by Beijing, Shanghai, Guangdong and Hubei; although the other four except the Shenzhen pilot are inconsistent with weak-form efficiency, the market efficiency of Beijing pilot has improved and the Hubei pilot has the lowest market efficiency; (2) there are the positively long-term equilibrium relationship between market efficiency and market liquidity of pilots; and (3) market liquidity can positively affect the market efficiency of pilots lasting three months. These findings suggest that the market participation ability, linkages between carbon markets, speculation of low market efficiency and carbon derivatives tools can be considered by unified China's national carbon market.
与之前评估碳市场效率程度为常数的研究不同，这项工作的新颖之处在于捕捉中国五个排放交易系统试点（北京、广东、上海、深圳和湖北）从 2017 年 1 月到 2019 年 6 月的时间变化的市场效率程度及其与流动性的静态和动态关系。为此，本工作采用了带有状态空间时变参数的广义自回归条件异方差均值（GARCH(1,1)-M）模型（卡尔曼滤波）、修正的 Amihud 非流动性比率、固定效应变截距面板回归模型和面板脉冲响应分析。实证结果如下：（1）深圳试点是市场效率表现最好的试点，其次是北京、上海、广东和湖北；尽管除深圳试点外的其他四个试点均不符合弱式有效，但北京试点的市场效率有所提高，而湖北试点的市场效率最低；（2）试点市场效率与市场流动性之间存在长期均衡关系；（3）市场流动性可以在三个月内对试点的市场效率产生积极影响。这些发现表明，中国统一的国家碳市场可以考虑市场参与能力、碳市场之间的联系、低市场效率的投机行为和碳衍生品工具。
