| Global climate problems caused by excessive emissions of carbon dioxide and other greenhouse gases are increasingly severe,affecting people's production and life.China attaches great importance to the issue of climate change which was included in the national development strategy.In "Thirteen Five" plan,government proposed to reduce carbon dioxide emissions per unit of GDP by 18%in 2020.In order to achieve emission reduction commitments,Chinese government proposed to construct a national carbon trading market in order to drive enterprises to save energy and reduce emission through the market mechanism.This paper hopes to study the operation of China's carbon trading market to find problems in the construction process of carbon trading pilot,so as to gradually improve the carbon trading market microstructure to promote China's economy to achieve low-carbon transformation.In this paper,we use five carbon trading pilot as the research object,including Beijing,Shanghai,Hubei,Guangdong,Shenzhen,to analyzes the microstructure characteristics and price fluctuation risk of China's carbon emissions trading market by comparing current situation of carbon quota spot trading,the fluctuation characteristics of carbon trading price,the information function of trading volume,the market effectiveness of carbon trading market,market risk and its influencing factors.The main conclusions are as follows:first,from the perspective of carbon quota price and trading volume,we can conclude that carbon quota trading of the pilot are affected by the performance period and has obvious cycle in Beijing and Shenzhen,and the return of carbon quota has the financial asset returns characteristics of sharp tail and volatility aggregation.What's more,the return of carbon quota in most pilot are suitable for the GARCH(1,1)model with t distribution.In addition,trading volume of Guangdong carbon quota and Shenzhen's quota at 2014-2015 can be used as information proxy variable.Second,the carbon trading market of the pilot has not reached weak effective,and the regional carbon trading market has little influence on each other.From the institutional perspective,we analyze the reasons for the low efficiency of the carbon trading,and find that the calculation of carbon quotas according to historical emissions is detrimental to early emission reduction enterprises and growth enterprises.What's more,exchanges lack carbon futures and options,and trading platform rarely disclosure trading information of carbon finance products.Besides,the carbon trading market is not active for the less participation of financial institutions.Third,from the perspective of carbon quota price volatility risk,the price fluctuations risk of Shanghai carbon trading pilot is the biggest,while Hubei carbon trading pilot risk is minimum,and the fluctuation risk of carbon quota price mainly comes from the change of self return,less influence of external factors.What's more,the impact of each factor on the carbon trading return is different. |
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