清淡市场视角下中国碳交易试点市场弱式有效性研究

当代财经 ›› 2017, Vol. 0 ›› Issue (07): 255-.

清淡市场视角下中国碳交易试点市场弱式有效性研究

张武林，雷原，王锋

（西安交通大学经济与金融学院，陕西西安 710061）

收稿日期:2017-04-17 发布日期:2021-01-21
作者简介:张武林，西安交通大学博士研究生，主要从事环境经济学研究，通讯作者联系方式zwlwoaiwojia@163.com；雷原，西安交通大学教授，博士生导师，主要从事农村经济、文化创意产业研究；王锋，西安交通大学副教授，博士生导师，主要从事能源经济研究。

A Study of the Weak Form Efficiency of China’s Carbon Trading Pilot Markets from the Perspective of Thin Market

ZHANG Wu-lin, LEI Yuan, WANG Feng

（Xi’an Jiaotong University, Xi’an 710061, China）

Received:2017-04-17 Published:2021-01-21

摘要/Abstract

摘要： 基于中国碳交易试点市场交易清淡的背景，采用方差比检验方法，对深圳、北京、上海、广东和湖北五个碳交易试点市场进行弱式有效性检验。研究发现：在不考虑市场交易清淡特征且采用日数据检验的情况下，仅有上海碳交易市场呈现较低的弱式有效，其余均为弱式无效；在使用周数据进行检验后发现，湖北和广东碳交易市场呈现弱式有效，深圳碳交易市场呈现不确定，北京和上海碳交易市场呈现弱式无效；在使用交易活跃期的数据进行检验后得出，五个碳交易市场均在不同程度上达到了弱式有效，尤其是进入2016年以后。这说明中国碳交易试点市场正逐渐走向成熟。

关键词: 清淡市场,碳交易市场,弱式有效性,方差比检验

Abstract: In the context of the light trading in China’s carbon trading pilot markets, this paper employs the methods of variance ratio test to carry out a weak form efficiency test on the five carbon trading pilot markets in Shenzhen, Beijing, Shanghai, Guangdong and Hubei. The findings show that if the light trading characteristics in the markets are not taken into consideration and if the daily data checking is adopted, then only Shanghai carbon trading market presents a lower weak-form efficiency, the rest markets are not weak-form efficient. When weekly data is used for testing, it is found that the carbon trading markets in Hubei and Guangdong present weak-form efficiency, the Shenzhen market is not sure, while the markets in Beijing and Shanghai present weak-form inefficiency. When the data obtained during the active trading period is used for testing, it is found that all the five pilot markets have reached weak-form efficiency by different degrees, especially since entering 2016. This indicates that China’s carbon trading pilot markets are on the way to become mature.

Key words: thin market; carbon trading market; weak form efficiency; variance ratio test

张武林，雷原，王锋. 清淡市场视角下中国碳交易试点市场弱式有效性研究[J]. 当代财经, 2017, 0(07): 255-.

ZHANG Wu-lin, LEI Yuan, WANG Feng. A Study of the Weak Form Efficiency of China’s Carbon Trading Pilot Markets from the Perspective of Thin Market[J]. Contemporary Finance & Economics, 2017, 0(07): 255-.