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| Title: | 中國各試點碳市場碳權價格與上證指數之相關性研究
A Study on the Correlation Between Carbon Prices in China’s Pilot Carbon Markets and the Shanghai Composite Index |
| Authors: | 葉綠
Ye, Lyu |
| Contributors: | 楊曉文
葉綠
Ye, Lyu |
| Keywords: | 碳權價
上證指數
碳試點市場
VAR模型
Granger因果關係
Carbon allowance prices
Shanghai Stock Exchange Composite Index
carbon market pilot
VAR model
Granger causality relationship |
| Date: | 2023 |
| Issue Date: | 2024-01-02 15:26:12 (UTC+8) |
| Abstract: | 在建立全國統一的碳市場之前，中國政府選擇了幾個地方省市進行碳交易試點，希望在地方試點經驗的基礎上建立一個成功有效的碳市場。本研究主要探討2017年至2022年五年期間中國各試點碳市場（北京、天津、上海、重慶、廣東、湖北、深圳、福建）碳權價格與上證指數之關聯性，利用ADF檢定、向量自我回歸、Granger因果關係等計量方法進行實證分析。本研究實證結果歸納如下：
1.
原始數據資料經由 ADF 單根檢定後顯示八個省市的碳試點碳權價格以及上證指數均為非定態的時間序列。但九個變數經過一階差分後，拒絕虛無假設確認為定態的時間序列資料。
2.
使用向量自我回歸模型（VAR）並經過 AIC 準則挑選落後第三期為最適落後期數。研究結果顯示前三期的上證指數對本期的上證指數為顯著正向影響；除了福建碳試點的碳權價格不受到自身變化的影響，其餘試點市場的碳權價格皆受到自身變化的影響；深圳、北京、上海、福建、天津五個碳試點市場的碳權價格受到上證指數變化的影響，其餘的試點市場不會受到上證指數變化的影響。
3.
Granger 因果關係檢定的實證結果顯示上海、北京及福建碳試點碳權價格單向領先上證指數，上證指數單向領先深圳、北京、上海、湖北及天津碳試點碳權價格。上證指數與上海、北京碳試點碳權價格為互為因果的關係；上證指數與重慶、廣東碳試點碳權價格為相互不影響的獨立關係。
Before establishing a nationwide unified carbon market, the Chinese government selected several local provinces and cities for carbon trading pilot programs. This study primarily explores the correlation between carbon allowance prices in various Chinese pilot carbon markets (Beijing, Tianjin, Shanghai, Chongqing, Guangdong, Hubei, Shenzhen, and Fujian) and the Shanghai Stock Exchange Composite Index (SSECI) during the five-year period from 2017 to 2022. Empirical the analysis was conducted using econometric methods such as the Augmented Dickey-Fuller (ADF) test, Vector Autoregression (VAR) model, and Granger causality test. The findings of this study are summarized as follows:
1.After subjecting the original data to ADF unit root tests, it was observed that both the carbon allowance prices in the eight pilot provinces and cities and the SSECI were non-stationary time series. However, these nine variables become stationary time series data after being differenced once.
2.Use the VAR model and select the third lag period as the optimal lag period through the AIC criterion. The research results indicate that the SSECI in the previous three periods had a significant positive impact on the current SSECI . Except for Fujian's carbon allowance prices, which were not influenced by their own changes, the carbon allowance prices in other pilot markets were influenced by their own variations. Carbon allowance prices in five pilot markets (Shenzhen, Beijing, Shanghai, Fujian, and Tianjin ) were affected by changes in the SSECI, while the other pilot markets were not affected by SSECI variations.
3.The empirical results of the Granger causality test show that the carbon allowance prices in Shanghai, Beijing and Fujian were the causes of changes in the SSECI, and the SSECI was the cause of changes in the carbon allowance prices in Shenzhen, Beijing, Shanghai, Hubei, and Tianjin. There was a mutual causality relationship between the SSECI and the carbon allowance prices in Shanghai and Beijing. |
| Reference: | 一．中文文獻
1. 王愷，2010，碳市場複雜系統研究:方法與實證，北京:中國科學院
2. 宋建緯，2010，碳價波動影響因素之探討—以歐洲能源交易所碳交易為例，國立政治大學財政研究所碩士論文
3. 劉啟東，2022，原油、碳權和指數期貨之相關性分析，銘傳大學財務金融學系碩士論文
4. 浦漢祥，2011，探討影響碳權價格的市場因素， 國立成功大學企業管理學系研究所碩士論文
5. 簡慈盈，2013，碳權價、油價與歐洲股價關聯性之研究，中原大學企業管理研究所碩士論文
6. 鄭春梅，2014，歐盟碳排放權價格波動影響因素研究－基於MS-VAR模型，《山東工商學院學報》2014，第5期 73-78頁
7. 李菲菲、錢魏冬、許正松，2020，7個試點省市碳價的影響因素與結構性斷點分析，西昌學院學報01期，第27-32頁
8. 張蕊，中國碳排放權交易價格的影響因素探究，2018，北京外國語大學碩士論文
9. 張琪，張琳，2022，中國碳排放交易權價格波動性影響因素研究，《經濟研究導刊》，2022年31期
10. 趙立祥，胡燦，2016，我國碳排放權交易價格影響因素研究:基於結構方程模型的實證分析，《價格理論與實踐》 2016第7期第101-104頁
11. 汪中華，胡垚，2018，我國碳排放權交易價格影響因素分析，《工業技術經濟》2018第37期第128-136頁
12. 呂靖燁，楊華，郭澤，2019，基於 GA-RS的中國碳排放權價格影響因素的分解研究，《生態經濟》，2019，第35期第42-47頁
13. 汪雨儂，2022，碳排放價格對於我國能源上市公司企業價值的影響，浙江大學碩士論文
14. 郭文軍，2015，中國區域碳排放權價格影響因素的研究—基於自適應Lasso方法《中國人口•資源與環境》2015年 第S1期 第305-310頁
二．英文文獻
1. Alberola, E., Chevallier, J., & Cheze, B. T. (2008). ”Price Drivers and Structural Breaks in European Carbon Prices 2005-2007”. Energy Policy, 36(2), 787-797
2. Betz, R. (2006). “What Is Driving Price Volatility in the EU ETS?” Australasian Emissions Trading Forum, 4-15
3. Bredin, D., & Muckley, C. (2011). “An Emerging Equilibrium in the EU Emissions Trading Scheme.” Emergy Economics, 33(2), 353-362
4. Daskalakis, G., (2009). “Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme.” Journal of Banking & Finance, 33 (2009) , 1230–1241
5. Julien Chevallier ,(2009). “Carbon futures and macroeconomic risk factors: A view from the EU ETS，Energy Economics.”Volume 31, Issue 4, July 2009, 614-625
6. Mansanet-Bataller, M., Pardo, A. and Valor, E. (2007) .“CO2 Prices, Energy and Weather.” The Energy Journal, 28, 67-86.
7. Batten Jonathan A.,Maddox Grace E.,Young Martin R.（2020）.“Does weather, or energy prices, affect carbon prices?”Energy Economics .
8. Ying Fan，Jun-Jun Jia , Xin Wang , Jin-Hua Xu（2017）.“What policy adjustments in the EU ETS truly affected the carbon prices?”Energy Policy, Volume 103, pages 145-164.
三．網路資料
1.碳排放交易網 http://www.tanpaifang.com/
2.中國碳交易網 http://www.tanjiaoyi.com/
3.上海環境能源交易所 https://www.cneeex.com/
4.北京環境交易所 http://www.cbeex.com.cn/
5.廣州碳排放交易所 http://www.cnemission.com/
6.天津排放權交易所 http://www.chinatcx.com.cn/tcxweb/
7.湖北碳排放權交易中心 http://www.hbets.cn/
8.重慶碳排放權交易中心 http://www.cqets.cn/index.html
9.深圳排放權交易所 http://www.cerx.cn/
10.上海證券交易所 http://www.sse.com.cn/ |
| Description: | 碩士
國立政治大學
金融學系
110352037 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110352037 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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