Research On The Correlation Of The Carbon Emissions Trading Market And Energy Futures Market Based On The Copula Theory

Developing low carbon economy is not only Chinese economic development strategy,but also the important action for china to become the most important role of the world economy.The establishment of the carbon emissions trading market is the innovation of the world low carbon economy development which converts the emissions reduction action from the government passive intervention into the active behavior of the enterprise,at the same time,carbon emissions trading market,as a kind of financial markets can active financial system in order to promote economic development.Since 2013,there are 8 carbon trading pilots in China.The unified national carbon trading market system was eatablished in 2017.Compared with the EU carbon marke,the china carbon market has not developed completely,and the degree marketization of carbon market should be improved.The carbon reduction enterprises have been the important participants in carbon trading market.Nowadays some investment organizations are actively involved in the carbon trading,at the same time,they are finding the effectively investment decision-making.Some scholars found that there is influence mechanism between the carbon market and the energy market.And the energy price is the significant contributor on the carbon trading price.This paper establishes ARMA-GARCH model to fit the marginal distribution model of the carbon market price yield sequence and energy futures prices yield sequence,then combine with the Copula function to build the ARMA-GARCH-Copula model which aims to research the dependence structure and volatility transmission between the carbon market and energy futures markets.In order to give advice about how to avoid the narket risk,the paper also calculates the Va R which also can provide a reference for investment organization and active the china carbon market.As an example of Beijing carbon trading market which has develop completely compared with the other carbon market,the research results show that the carbon market and energy futures market yield sequence have the characteristics of Leptokurtosis and Fat-Tail,clustering and heteroscedasticity.The Gumbel copula function fits the dependence structure of carbon trading market and energy futures markets best.The carbon trading market and energy futures market have asymmetrical upper tail dependence structure.The carbon price and the energy future price will rise together in the bullish market.And the tail coefficient calculated by the optimal copulas functions.However,the effect of the energy future market on the carbon marke is week.Among the fuel oil,steam coal and coke futures,the upper tail correlation between the carbon market and fuel oil futures market is higher and the upper tail is 0.09277.At last,the investment risk is caculated based on the Copula-Va R.The optimal investment portfolio is decided by the minimum value of VaR.