欧盟和湖北碳市场量价关系的多重分形特征研究

摘要

已有实证研究证明分形市场理论能够较有效地解释金融市场异象。量价关系是市场分析的切入点，研究其多重分形特征有助于理解市场价格形成过程。基于 MF-X-DMA 方法对比分析欧盟和湖北碳市场在市场成立初期的量价关系，发现均存在多重分形特征，且均来源于波动的厚尾分布和波动的长记忆性，而后者在欧盟碳市场中是造成多重分形的主要原因。进一步通过滑动窗口技术发现，碳市场上量价关系之间的动态机制在短期内受到外源性事件的冲击较为显著，在长期内则处于“亚稳态”。对比分析发现，同为市场成立初期，湖北碳市场的风险较欧盟碳市场更大。%The existing empirical researches have shown that the fractal market hypothesis is more effective in explaining the abnormal phenomena at the financial market.The price-volume relationship is crucial for market analysis while the studies on its multifractal features can help understand the price formation.Based on the Multifractal Detrending Moving-Average Cross-correlation Analysis, this paper gives a comparative study of the price-volume relationship in the early stage of the two car-bon markets,European Union Allowance(EUA)and Hubei Allowance(HBA)respectively.The price-volume relationship is found to be multifractal at these two markets,which are related to their fat-tail distributions and long memory of volatilities,while the latter one is the dominant cause for multifrac-tal features at the European carbon market.Furthermore,by employing the sliding-window method, it is found that the dynamic mechanism between price-volume relationships at the carbon market is significantly impacted by exogenous shocks in a short-term perspective and at a metastable situation in a long-term perspective.It is also found that at the same early stage of the market the risk at Hubei carbon market is higher than that at the European carbon market.