关键词: 长期记忆：碳交易：市场效率, 收益-波动双记忆

Abstract: The price operation law in China’s carbon trading market is one of the hot research issues at present. Based on the carbon trading price series of Shenzhen, Guangzhou and Hubei carbon trading pilot markets since their establishment, this paper conducts an empirical study with a number of long-term memory measurement models, such as R/S analysis, modified R/S analysis, V/S analysis, LW estimation, ARFIMA-FIGARCH and so on. The results show that, firstly, there exists a yield-volatility dual memory in Shenzhen carbon trading series, while there exists only long-term memory of volatility in Hubei carbon trading series; secondly, the long-term trend of carbon trading prices in Shenzhen and Guangzhou may be reversed, from an upward trend to a downward trend, the carbon trading prices in the three pilot markets may fluctuate sharply in the future; thirdly, there is a certain deviation between the estimation method based on different long-term memory parameters and the estimation value of the long-term memory parameters obtained from different parameter selection. The above conclusion suggests that the market participants should guard themselves against the price risks in the carbon trading markets and be alert to the possible sharp fluctuations of carbon tradingprices. The policy makers should improve the carbon trading system in terms of industry coverage, access threshold, number of included enterprises, number of individual and institutional investors, carbon financial products, trading methods, transaction costs, price rise and fall, quota calculation methods, quota allocation methods, and other aspects, so as to improve the efficiency of the carbon trading markets.

Key words: long-term memory: carbon trading: market efficiency, yield-volatility dual long memory