国际碳排放权市场分形与混沌行为特征分析与检验——以欧盟碳排放交易体系为例

本文利用Bluenext和ECX的经验数据,对欧盟碳排放权市场(EU-ETS)的价格行为特征进行了分析.研究表明:1)对EU-ETS市场收益率序列基本统计特征检验显示:碳收益率序列不服从正态分布,具有明显的有偏、尖峰、肥尾的非正态性和非线性的统计分布特征;2)对市场分形性的研究表明:该市场具有显著的统计自相似性,阶段性的、而非全过程的长期记忆性特征;3)对市场混沌性的研究表明:从关联维数看,EU-ETS并不存在低维混沌性,但结合最大Lyapunov指数检验及邻近返回检验证明欧盟碳排放权市场存在非收敛饱和混沌性.由此得出结论:欧盟碳排放权市场是一个具有分形与混沌特征的非线性动力系统,它不符合有效市场假说,因此不能用线性范式来研究市场价格行为、交易机制及政策制定.

Analysis and test of fractal and chaotic behavior characteristics of the international carbon emissions market

In this paper, the characteristics of the price behavior of the EU carbon emissions market (EU-ETS) are analyzed by using the empirical data of Bluenext and ECX. The research shows that:1) the statistical characteristics of the sequence of the EU-ETS market returns show that the carbon yield sequence is not from normal distribution, which has obvious characteristics of the statistical distribution of the partial, spike and fat tail; 2) the research on the fractal property of the market shows that:the market has the obvious self similarity, the staged, and not the whole process of long-term memory; 3) the study on the chaos of the market shows that:from the correlation dimension, EU-ETS does not exist in the low dimensional chaos, but the combination of the maximum Lyapunov index test and close return test proves that the EU carbon market has a non convergence saturation chaos. From this, we can get the conclusion:The EU carbon emissions market is a nonlinear dynamic system with fractal and chaotic characteristics, which does not conform to the effective market hypothesis, and the linear paradigm can't be used to study the market price behavior, trading mechanism and policy formulation.