دانلود رایگان مقاله بازده انتشار و عملکرد بازار کربن در شنژن، چین

abstract

China has developed its own domestic carbon markets by setting up emission trading schemes. This study addresses concerns about the functioning of these schemes and the financial performance of the Chinese carbon market. It aims to assess an actual outcome of this policy intervention, i.e. trading records, which were used in our analysis to examine a key financial property of the allowance-based market in Shenzhen. In a mature market, assets that incur higher risks are likely to yield higher returns, i.e. a positive relationship. To examine this property, we solicited historical data on the price and trading volume of emission allowances. We statistically estimated the degree of volatility in the Shenzhen market and its relationship with expected return premium. We found that the rate of return was negatively associated with expected risk. This stands at odds with the usual expectation in the financial market and the prediction of asset pricing theory. Also, kurtosis in trading volume was excessively high and its fluctuations were highly concentrated. We discuss these findings in terms of market liquidity and information uncertainties, and offer some policy recommendations. More regulatory attention and economic fixes are needed to improve market efficiency and eliminate sources of market distortions.

7. Conclusions and policy implications

This study examined the volatility behavior of the emission allowances changed hands under the Shenzhen ETS in China. Its novelty lies in the use of the ARMA-GARCH-M technique for modelling asset returns series and analysing allowance price data recorded in China. We found that the rate of return was negatively associated with expected risk represented by the conditional variance, and this stands at odds with the usual expectation in the financial market. In addition, there were significant fluctuations and excessively high kurtosis in trading volume. Although the Shenzhen ETS has been operating for more than three years since June 2013 and has many advantages over its counterparts in China, more work is needed to turn it into a mature market in which yield would normally increase with volatility.

The findings call for regulatory attention and economic fixes to improve the efficiency of this carbon market and eliminate sources of market distortions, such as excessive state intervention into market activities and restrictions on trading options. Currently in China, not many enterprises and investors have expressed a strong interest in trading emission allowances for profits. Instead, state intervention and regulation are the most important factor affecting allowance prices [27, p.66]. As details about the important national ETS are not yet available, uncertainties associated with strengthening state intervention and introducing new regulatory arrangements are likely to persist. Until the scheme is successfully implemented and the regulatory system is made transparent, market abnormalities, as we have identified, may continue to exist.

As a policy experiment, the pilot ETSs form a basis for building a nationwide scheme and offer lessons to learn. Understanding the properties and imperfections of the Chinese carbon market are important for advancing the performance of the carbon markets in China and potentially those in other developing countries that consider emission trading as part of the policy mix. Based on our observations, we provide a few recommendations for policymakers in China and other developing countries.