| By 2020,China has set the goal of achieving emission peak and carbon neutrality,which will drive China to vigorously develop low-carbon economy.At present,China is gradually promoting the construction of carbon emissions trading market.In 2011,regional carbon emissions trading markets were established in Beijing,Shanghai,Guangdong,Shenzhen,Tianjin,Hubei and Chongqing,and a national carbon emissions trading market was established and put into operation in2021.Since carbon trading products are different from general financial products,the transmission paths of carbon trading market risks are more complex,which complicates the risks of carbon trading market and increases the difficulty of risk control.However,since China’s carbon trading market is still in the early stage of development,the construction of its risk prevention mechanism is not perfect.Therefore,it is a key and urgent issue to measure the risk of carbon trading market reasonably and analyze the transmission effect of the risk of carbon trading market.Regulators can refer to the risk measurement index of carbon trading market to effectively manage the risk of carbon trading market,and carbon trading market participants can make more reasonable and robust investment decisions on the basis of understanding the risk transmission effect of carbon trading market.It is conducive to the stable development of China’s carbon trading market and the ultimate realization of China’s goal of developing a low-carbon economy and mitigating climate change.At present,there are many literatures using Va R to measure the risk of China’s carbon emissions trading market.Liu and Zhou(2017)used Markov-SWARCH model to measure and analyze the risk of Beijing carbon emissions trading market from two aspects: liquidity and volatility.Zheng and Shen(2018)used BP Artificial Neural Network model to measure the risk of Shenzhen carbon emissions trading Market.However,due to the short operation time of China’s national carbon emissions trading market,the available research data are insufficient.The above studies are all aimed at measuring the risk of a single regional carbon trading market,and few scholars integrate and measure the risk of each regional carbon trading market on the basis of analyzing the correlation of each regional carbon trading market.Since the risk measurement and transmission effect analysis of carbon trading market are critical,the risks of carbon trading market concerned by the existing literature are not comprehensive.Therefore,this paper integrates and measures the market risks of five regional carbon emission trading markets,analyzes the transmission effect of carbon trading market risks,and constructs a cross-market portfolio on the basis of the research on the transmission effect.Compared with the performance of the portfolio,the better investment strategy of carbon trading market is obtained.Specifically,in order to measure the risk of carbon emission trading market in an integrated way,the ARMA-GARCH model was used to model each regional carbon emissions trading markets’ time series of logarithmic rate of return.Then,the GAM model was introduced into the optimal Vine Copula model,and the calendar effect of the logarithmic rate of return of each carbon emissions allowance was described by GAM model.The GAM-Vine Copula model based on the Vine Copula model was established to fit the correlation of logarithmic rate of return of carbon emission rights in five carbon emissions trading markets.In addition,the Monte Carlo simulation method is used to measure the Va R in five regional carbon trading markets.Secondly,in order to obtain an optimal investment strategy for carbon trading market,a cross-market portfolio containing carbon trading products should be constructed to maximize investment returns and minimize risks.On the one hand,in order to determine portfolio assets,this paper applies Granger Causality Tests to analyze related assets that have a conductive effect on carbon trading market risks.And package carbon trading products with related asset products into a portfolio.On the other hand,in order to determine the weight of each asset in the portfolio,the MeanVariance model proposed by Markowitz(1952)was used in this paper to determine the optimal asset weight based on the Mean-Va R Model improved on the risk measure "variance",and finally complete the construction of the crossmarket portfolio containing carbon trading products.The conclusions of this paper mainly include:(1)Carbon trading market has the attributes of general financial activities.There are some characteristics of autocorrelation and heteroscedasticity in the time series of logarithmic rate of return of carbon emission rights’ price in five regional carbon trading markets.In addition,the logarithmic rate of return series of carbon emission rights’ price in each market rejects the assumption of independent and homogeneous distribution,and its distribution characteristics are heterogeneous.(2)The five regional carbon emissions trading markets have little information transmission and weak correlation,but the Shenzhen carbon emissions trading market has the highest correlation with other carbon emissions trading markets.The calendar effect described by GAM dummy variables will affect the correlation between carbon emission rights’ prices in regional carbon trading markets.(3)When measuring Va R of carbon emission trading markets,R-Vine Copula model is the best.(4)Exchange rate,interest rate and Chinese carbon emissions trading market are relevant;The fluctuation of exchange rate will affect the volatility of our carbon emissions trading market,but the fluctuation of interest rate has no obvious influence on the volatility of our carbon emissions trading market.(5)The performance of a cross-market portfolio constructed by adding interest rate and RMB/USD exchange rate assets to the portfolio of carbon trading market is not better than that of a single carbon trading market portfolio.Therefore,it is not recommended that investors participating in carbon emission trading construct a cross-market portfolio of carbon and interest rate or a cross-market portfolio of carbon and RMB/USD exchange rate at this stage.The innovation of this paper mainly includes the following three aspects:(1)After modeling the correlation of five regional carbon emission trading markets in our country by using GAMC-Vine Copula model,it is found that there is calendar effect of correlation of five regional carbon emissions trading markets in our country.So the dynamic dependency measurement method used in this paper is considered more comprehensively.(2)Integrate the risk of regional carbon trading market on the basis of studying and analyzing the correlation of regional carbon trading markets.At present,few scholars integrate the risk of multiple regional carbon trading markets for measurement.Therefore,this paper provides a more holistic perspective for measuring the risk of Chinese carbon trading market.(3)This paper constructs a cross-market carbon trading market portfolio and compares its performance with that of a single carbon trading market portfolio.At present,relevant studies on cross-market portfolios mainly focus on markets with strong financial attributes,and few studies choose to add carbon trading assets to construct portfolios.This paper provides referable investment suggestions and ideas for constructing investment strategies in carbon trading markets for investors.With the development of Chinese carbon trading market,its market volume is rising gradually,the financial attribute is strengthening gradually,and the amount of data available is increasing.This paper puts forward the following two prospects:(1)This paper uses Granger Causality Test to test the transmission effect of interest rate and exchange rate fluctuations on carbon emission trading market risks.However,according to literature,there are many other factors that will affect the carbon emissions trading market.In the future,Studies can analyze whether the fluctuations of other factors have a transmission effect on carbon emission trading market risks and whether investors can use the above transmission effect to construct a profitable portfolio.(2)The market risk studied in this paper is only a part of the risk of carbon trading,which also includes the credit risk,operational risk,policy risk and so on which exist in the process of carbon trading.Future research can start from the perspective of comprehensive risk management,study the transmission mechanism among all risks,integrate the measurement of carbon trading risk,so as to establish a more comprehensive risk management model. |
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