The Efficiency Research On The European Union CER Futures Market

The carbon market is pushed to the practical stage by Kyoto Protocol to solve the global environmental problems. Its establishment realizes global reduction at a lower cost and makes a large contribution to halting the environmental deterioration. As derivatives markets of carbon spot market, carbon futures market has functions of price discovery and risk avoidance. However, the implementation of these functions depends entirely on the efficiency level of the carbon market. EU ETS is the earliest international carbon market. Studying the effectiveness of the international carbon futures market regarding EU ETS as data samples is conducive to the improvement of investment decision-making ability and the enhancement of reduction function. In addition, the study also can provide reference for China to establish a national carbon emissions market.The effectiveness of EU ETS is not high, so the market may not be able to meet the absolutely effective market strictly. The paper conducts progressive efficacy from two aspects of absolute and relative effectiveness. Considering the structural breakpoint in the sample period, the paper divides the data samples by the structural breakpoint testing method based on Bai-perron firstly. The paper combines the cointegration test based on APT, parameter constraint test and VECM in order to explore the absolute effectiveness of the CER futures market. For the futures contracts that cannot satisfy the absolutely effective market, the paper conduct relative efficacy by the BP neural network. The empirical results show that the CER futures contracts of EU ETS only reach the relatively efficient level, but the market still has the function of price discovery.The paper constructs the test model of absolute effectiveness that can meet the necessary and sufficient condition of carbon futures market and puts forward the testing method of the relative effectiveness that is suitable for carbon futures market. Based on the research results, the paper suggests not only developing related carbon derivatives market but also improving the transparency of market information transmission when our country establishes a national carbon emissions market.