Study on price discovery of European Union carbon-emission rights trading market and enlightenment

摘要

This paper, is based on price discovery model and BEKK model, empirically analyzes the dynamic relationships between EUA and CER future contracts in European climate exchange. The result shows that there is a long-run cointegration relationship between EUA and CER. In terms of price discovery function, EUA is stronger than CER. In terms of volatility, there is unidirectional volatility spillovers effect between EUA and CER. With the carbon market developing rapidly, the volatility spillovers effect presents increasing strong trend. As China is the biggest supply country in primary CER market, it suggests setting up a unified primary CER trading platform and China carbon trading system conforming to the national conditions.