A Study On The Impact Of The Trading Volume On Price Volatility In EU Carbon Market

The Kyoto Protocol proposes to use the market to classify the abstract carbon dioxide emission rights.Namely,it’s to regard carbon emission rights as a commodity with rights,and achieve carbon dioxide emissions reduction by carbon emissions trading system.Carbon price is the most important indicator of market efficiency in the carbon market.It can reflect the degree of market activity and is closely related to the market behavior of market participants.As the other commodities on the market,carbon emissions trading forms a certain price level under the auspices of supply and demand factors in the carbon market competition process.While the supply and demand are not the only price determinants,but also by the market participants behavior,allowance allocation and other factors.Under the carbon emissions trading system,the market participants are mainly the demand side of carbon emissions,that is,the enterprises with high carbon emissions in the production process.So enterprises participate in the global action to reduce emissions has become an inevitable trend.Under the pressure of global emissions,companies will be faced with dual impact of product market and carbon trading market.This influence is mutual.As the same,the carbon trading market progress and changes will also act on the market participants.The carbon market participants are mainly included in the scope of covered enterprises,as well as some institutional investors and individual investors.Most of the previous studies have considered carbon market participants as homogeneous controlled enterprises,which makes it easy to ignore the impact of market behavior of non-controlled market participants on the carbon market.In this thesis,it takes the European Union Emissions Trading Scheme(EU ETS)with the first and second stage as the research object.The existing domestic and foreign carbon market participants and carbon price volatility have been researched.We sort out the results and literatures from the theoretical and empirical aspects.The paper analyzes the frequency of the behavior of the carbon market participants and the frequency of the market transaction activities,and elaborates the relevant theoretical knowledge of the carbon transaction,and takes these as the premise to study on the impact mechanism on carbon market price by different behaviors of the participants.This thesis analyzes the price volatility based on the trading volume.It is found that in most cases,the transaction volume has a positive effect on the price volatility,that is,the bigger the transaction volume and the more fluctuating the price volatility.However,since some of the trading volume is based on the expected transaction of past information,this part of the transaction will be in the price deviation and play a balanced role,showing a negative impact on the carbon market price.While,the unexpected trading volume feedbacks on new information made by the market to judge the situation,and has a positive impact on the market price.And the impact of unexpected trading volume on market prices is much greater than the expected impact of trading volume on prices.Finally,in view of these factors on the carbon market price volatility and construction situation of carbon market in China,several relevant recommendations are suggested to the unified carbon market construction in China.