A Research On Efficiency Of European Carbon Future Markets

Market efficency is related with the developing of market functions. The carbon future is a new future produced to cope with the global warming, which its efficiency have an effect on two basic functions developing of risk aversion and price discovery, and which is important for rational distribution of carbon resources, risk aversion of low carbon development and global green house gas emissions reduction. Especially, as a emerging future market, European Union carbon future market's road-map is helpful to improve China future market.At first, this thesis introduces the production and development of the European Union carbon future market risen recently, and analyses the carbon future market efficiency qualitatively from the different standpoints of the market scale, the inverstors'structure, the trade practices and the information transparency. Then, this thesis analyses the difference between the future market effiency and general market effiency starting from the general market effiency. It gives the definition of future market efficiency which is"future price acted in accordance with spot price, adjusted for the opportunity cost of holding a spot position and risk premium", and it also educes the test method which the parameters restriction test on constant term is not included. Nextly, this thesis tests the European Union carbon future market efficiency and price discovery. The findings suggest that two of three futures contracts are efficienct chronically and inefficiency in a short time, and spot market is stronger than futures market on developing of price discovery function. this thesis attributes these to carbon future market's emerging market, lagging of messages reflection and instable policy of carbon trade.Lastly, according to the qualitative and quantitative analysis above, this thesis suggests that China should improve the future market from the different standpoints of construction of regulation and self-discipline system, cultivation of rational invetors, exploitation and offering of new futures and achieving of a high degree of transparency.