Research on the dependence of spot and future prices of EUA based on SV-Copula model

LIU Jian, LIAO Shufei, HUANG Yuying, YAN Lizhao

Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (7) : 1694-1706.

PDF(1036 KB)
中国科学院数学与系统科学研究院期刊网
PDF(1036 KB)
Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (7) : 1694-1706. DOI: 10.12011/1000-6788-2019-2742-13

Research on the dependence of spot and future prices of EUA based on SV-Copula model

  • LIU Jian1, LIAO Shufei1, HUANG Yuying1, YAN Lizhao2
Author information +
History +

Abstract

The dependence of spot and future prices of carbon allowances is of great importance to investors in hedging, speculation and arbitrage. In this paper, the stochastic volatility (SV) model is used to study the fluctuation characteristics of the spot and futures prices of European Union Allowances, and then the Copula function is used to analyze the dependence structure between them. The results show that carbon spot prices and future prices have significant fluctuation persistence and leverage effect during Phase II and Phase III of European Union Emissions Trading Scheme (EU ETS). During Phase III, the fluctuation risk of spot prices and future prices is greater than that during Phase II. Furthermore, there is a high degree of dependence between spot prices and future prices, and during Phase III the tail dependence is stronger. The tail dependence of the two phases is symmetric and thick.

Key words

European Union Allowances / spot / future / SV model / Copula function / dependence

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
LIU Jian , LIAO Shufei , HUANG Yuying , YAN Lizhao. Research on the dependence of spot and future prices of EUA based on SV-Copula model. Systems Engineering - Theory & Practice, 2020, 40(7): 1694-1706 https://doi.org/10.12011/1000-6788-2019-2742-13

References

[1] 张跃军, 魏一鸣. 国际碳期货价格的均值回归:基于EU ETS的实证分析[J]. 系统工程理论与实践, 2011, 31(2):215-219. Zhang Y J, Wei Y M. International carbon futures price mean reversion:Based on an empirical analysis of the EU ETS[J]. Systems Engineering-Theory & Practice, 2011, 31(2):215-219.
[2] 袁嫄, 刘纪显, 张芳. EUA市场价格非对称性波动研究——基于欧盟EUA管理制度的实证分析[J]. 金融论坛, 2015(5):44-53. Yuan Y, Liu J X, Zhang F. A study of the asymmetry fuctuation in the price of carbon quota market-An analysis based on the management system of EU carbon quota[J]. Finance Forum, 2015(5):44-53.
[3] 蒋晶晶, 叶斌, 马晓明. 基于GARCH-EVT-VaR模型的碳市场风险计量实证研究[J]. 北京大学学报(自然科学版), 2015, 51(3):511-517. Jiang J J, Ye B, Ma X M. Value-at-Risk estimation of carbon spot markets based on an integrated GARCH-EVT-VaR model[J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 2015, 51(3):511-517.
[4] 孙春. 中国碳市场与EU碳市场价格波动溢出效应研究[J]. 工业技术经济, 2018(3):97-104. Sun C. Spillover effects of price fluctuation on China's carbon market and EU carbon market[J]. Journal of Industrial Technological Economics, 2018(3):97-104.
[5] 胡根华, 吴恒煜. 基于三状态Markov模型的欧盟碳排放交易市场的状态转换结构研究[J]. 软科学, 2017, 31(2):136-140. Hu G H, Wu H Y. State switching structure of European Union carbon emission trading market based on three-state Markov model[J]. Soft Science, 2017, 31(2):136-140.
[6] Kim S, Shephard N, Chib S. Stochastic volatility:Likelihood inference and comparison with ARCH models[J]. The Review of Economic Studies, 1998, 65(3):361-393.
[7] 周竟东, 谢赤, 欧辉生, 等. 权证收益率波动的度量:基于GARCH和SV模型的比较[J]. 系统工程, 2010, 28(4):1-8. Zhou J D, Xie C, Ou H S, et al. Measuring effect of warrant return volatility:A comparative study based on GARCH and SV model[J]. Systems Engineering, 2010, 28(4):1-8.
[8] 魏宇. 沪深300股指期货的波动率预测模型研究[J]. 管理科学学报, 2010, 13(2):66-75. Wei Y. Volatility forecasting models for CSI300 index futures[J]. Journal of Management Sciences in China, 2010, 13(2):66-75.
[9] 刘玉荣, 查婷俊, 刘颜, 等. 金融市场波动、经济不确定性与城镇居民消费——基于SV模型的实证研究[J]. 经济学(季刊), 2019, 18(2):551-569. Liu Y R, Zha T J, Liu Y, et al. Financial market volatility, economic uncertainty and consumptions of urban residents-An empirical investigation based on SV model[J]. China Economic Quarterly, 2019, 18(2):551-569.
[10] Taylor S J. Modelling financial time series[M]. Chichester:John Wiley & Sons, 1986.
[11] 刘维泉, 郭兆晖. EU ETS碳排放期货市场风险度量——基于SV模型的实证分析[J]. 系统工程, 2011, 29(10):14-23. Liu W Q, Guo Z H. EU ETS EUA future market risk measurement-An empirical research based on SV models[J]. Systems Engineering, 2011, 29(10):14-23.
[12] 孙彦林, 陈守东, 刘洋. 基于股市和汇市成交量信息视角的股价波动预测[J]. 系统工程理论与实践, 2019, 39(4):935-945. Sun Y L, Chen S D, Liu Y. Forecast of stock price fuctuation based on the perspective of volume information in stock and foreign exchange market[J]. Systems Engineering-Theory & Practice, 2019, 39(4):935-945.
[13] 李红霞, 傅强, 袁晨. 中国黄金期货与现货市场的相关性及其套期保值研究[J]. 财贸研究, 2012(3):85-91. Li H X, Fu Q, Yuan C. Relationship and portfolio hedging between spot and futures returns:Evidence from Chinese gold markets[J]. Finance and Trade Research, 2012(3):85-91.
[14] 陈冲, 刘向丽, 徐山鹰, 等. 基于基差角度的中国铜期货动态套保策略研究[J]. 管理科学学报, 2012, 15(6):49-57. Chen C, Liu X L, Xu S Y, et al. Research on dynamic hedging strategy of Chinese copper futures from the perspective of basis[J]. Journal of Management Sciences in China, 2012, 15(6):49-57.
[15] 朱莉, 刘向丽. 股指期现货市场间的信息溢出和相关性研究——基于ADCC-TGARCH模型和CCF检验[J]. 系统科学与数学, 2016, 36(4):487-501. Zhu L, Liu X L. Information overflow and correlation between stock index spot and index futures-On the basis ADCC-TGARCH and CCF test[J]. Journal of System Science and Mathematical Sciences, 2016, 36(4):487-501.
[16] 方雯, 冯耕中, 陆凤彬, 等. 中国钢材交易市场价格发现动态演化研究[J]. 系统工程理论与实践, 2019, 39(1):49-59. Fang W, Feng G Z, Lu F B, et al. Dynamic price discovery of steel trading markets in China[J]. Systems Engineering-Theory & Practice, 2019, 39(1):49-59.
[17] Liu L, Wang Y D. Cross-correlations between spot and futures markets of nonferrous metals[J]. Physica A:Statistical Mechanics and its Applications, 2014, 400(15):20-30.
[18] 苑莹, 王梦迪, 樊晓倩, 等. 市场间相依性检验、非对称性及传导方向研究[J]. 系统工程理论与实践, 2016, 36(11):2779-2789. Yuan Y, Wang M D, Fan X Q, et al. Research on the examination of dependency of market, the asymmetry and the direction of contagion[J]. Systems Engineering-Theory & Practice, 2016, 36(11):2779-2789.
[19] 王宏勇, 贾娜. 中国金属期货与现货市场多元交互关系的多重分形分析[J]. 系统工程理论与实践, 2019, 39(9):2203-2215. Wang H Y, Jia N. Multifractal analysis of the multivariate cross-correlation between metal futures and spot markets in China[J]. Systems Engineering-Theory & Practice, 2019, 39(9):2203-2215.
[20] 李红权, 何敏园. 我国股市的对外溢出效应与国际影响力研究——基于Copula-DCC-GARCH模型[J]. 系统科学与数学, 2017, 37(8):1790-1806. Li H Q, He M Y. The spillover effect and international influence of China's stock market:Based on the Copula-DCC-GARCH model[J]. Journal of System Science and Mathematical Sciences, 2017, 37(8):1790-1806.
[21] 李强, 周孝华, 李婧. 基于Copula-ASV-EVT的QFII和HS300指数相关性风险度量[J]. 系统工程理论与实践, 2017, 37(3):570-579. Li Q, Zhou X H, Li J. Measuring the dependence risk between QFII and HS300 index based on the Copula-ASV-EVT model[J]. Systems Engineering-Theory & Practice, 2017, 37(3):570-579.
[22] Chang K L. The time-varying and asymmetric dependence between crude oil spot and futures markets:Evidence from the mixture Copula-based ARJI-GARCH model[J]. Economic Modelling, 2012, 29(6):2298-2309.
[23] 邢文婷, 张宗益, 吴胜利. 天然气期货和现货价格间的相关性研究[J]. 运筹与管理, 2017, 26(8):141-145. Xing W T, Zhang Z Y, Wu S L. Research on the correlation analysis between the natural futures prices and spot prices[J]. Operations Research and Management Science, 2017, 26(8):141-145.
[24] 钟莉, 唐勇, 朱鹏飞. 我国金融市场间联动效应研究——基于混频Copula模型[J]. 系统科学与数学, 2019, 39(5):755-772. Zhong L, Tang Y, Zhu P F. Research on the co-movement effect between China's financial markets-A study based on a mixed-frequency Copula model[J]. Journal of System Science and Mathematical Sciences, 2019, 39(5):755-772.
[25] 亢娅丽, 朱磊, 范英. 基于Copula函数的EU ETS和电力市场间相关性分析[J]. 中国管理科学, 2014, 22(s1):814-820. Kang Y L, Zhu L, Fan Y. The dependence between EU ETS and electricity markets:A Copula analysis[J]. Chinese Journal of Management Science, 2014, 22(s1):814-820.
[26] 张晨, 杨玉, 张涛. 基于Copula模型的商业银行碳金融市场风险整合度量[J]. 中国管理科学, 2015, 23(4):61-68. Zhang C, Yang Y, Zhang T. The integrated measurement about carbon finance market risk of commercial banks based on Copula model[J]. Chinese Journal of Management Science, 2015, 23(4):61-68.
[27] 戚婷婷, 鲁炜. 核证减排量现货市场与期货市场的价格发现[J]. 北京理工大学学报(社会科学版), 2009, 11(6):71-76. Qi T T, Lu W. Certified emission reductions on the spot market and futures market price discovery[J]. Journal of Beijing Institute of Technology (Social Sciences Edition), 2009, 11(6):71-76.
[28] 张浩, 刘元根, 朱佩枫. 欧盟碳排放权交易市场价格发现的实证研究[J]. 工业技术经济, 2013(6):126-131. Zhang H, Liu Y G, Zhu P F. Empirical research on price discovery of European carbon emission market[J]. Journal of Industrial Technological Economics, 2013(6):126-131.
[29] 王丹, 程玲. 欧盟EUA现货与期货价格关系及对中国的借鉴[J]. 中国人口·资源与环境, 2016, 26(7):85-90. Wang D, Cheng L. Relationships between spots and futures prices in the EU ETS and implications for China[J]. China Population, Resources and Environment, 2016, 26(7):85-90.
[30] Koopman S J, Uspensky E H. The stochastic volatility in mean model:Empirical evidence from international stock markets[J]. Journal of Applied Econometrics, 2002, 17(6):667-689.
[31] Jacquier E, Polson N G, Rossi P. Bayesian analysis of stochastic volatility models with fat-tails and correlated errors[J]. Journal of Econometrics, 2004, 122(1):185-212.
[32] 黄大海, 郑丕谔. 股市预期收益率与波动关系的研究[J]. 管理科学学报, 2008, 8(5):76-80. Huang D H, Zheng P E. SV-m models based study on relationship between expected stock returns and volatility[J]. Journal of Management Sciences in China, 2008, 8(5):76-80.
[33] Sklar A. Fonctions de répartition à n dimensions et leurs marges[J]. Publication de l'Institut de Statistique l'Université Paris, 1959(8):229-231.
[34] Patton A J. Modelling time-varying exchange rate dependence using the conditional Copula[R]. Working Paper, Department of Economics, University of California, 2001.
[35] Patton A J. Modelling asymmetric exchange rate dependence[J]. International Economic Review, 2006, 47(2):527-556.
[36] Gilks W R, Roberts G O. Strategies for improving MCMC[Z]. Markov Chain Monte Carlo in Practice, 1996:89-114.
[37] Spiegelhalter D J, Best N G, Carlin B P, et al. Bayesian measures of model complexity and fit[J]. Journal of the Royal Statistical Society, Series B, 2002, 64(4):583-639.
[38] 文凤华, 刘晓群, 唐海如, 等. 基于LHAR-RV-V模型的中国股市波动性研究[J]. 管理科学学报, 2012, 15(6):59-67. Wen F H, Liu X Q, Tang H R, et al. Research on China's stock market fluctuations based on LHAR-RV-V model[J]. Journal of Management Sciences in China, 2012, 15(6):59-67.
[39] 叶五一, 董筱雯, 缪柏其. c-D-Copula模型构建及其在金融风险传染中的应用[J]. 系统科学与数学, 2018, 38(5):553-568.Ye W Y, Dong X W, Miao B Q. Linkage of international stock market and financial infection analysis based on c-D-Copula model[J]. Journal of System Science and Mathematical Sciences, 2018, 38(5):553-568.

Funding

National Natural Science Foundation of China (71871030, 71501069)
PDF(1036 KB)

Accesses

Citation

Detail
Sections
Recommended

/

〈 〉