An empirical investigation on the risk-return relationship of carbon future market

	An empirical investigation on the risk-return relationship of carbon future market
	Li; Ziran; Qiao; Han; Song N(宋楠); Song; Nan; Zu; Lei
刊名	JOURNAL OF SYSTEMS SCIENCE AND COMPLEXITY
	2015
关键词	Carbon price Empirical investigation European union emission trading schemes Explanatory power GARCH Information diffusion Market efficiency Policy suggestions
英文摘要	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
类目[WOS]	902.2 Codes and Standards ; 971 Social Sciences
收录类别	EI
公开日期	2016-05-03
内容类型	期刊论文
源URL	[http://ir.ihep.ac.cn/handle/311005/228914]
专题	高能物理研究所_管理与技术支持
推荐引用方式 GB/T 7714	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).