引用本文:杨星,李斌,曾悦,米君龙.非对称非线性平滑转换的广义自回归条件异方差算法的碳价格均值回归检验[J].控制理论与应用,2019,36(4):622~628.[点击复制]
YANG Xing,LI Bin,ZENG Yue,MI Jun-long.Test of mean reversion of carbon price based on ANST–GARCH algorithm[J].Control Theory and Technology,2019,36(4):622~628.[点击复制]
非对称非线性平滑转换的广义自回归条件异方差算法的碳价格均值回归检验
Test of mean reversion of carbon price based on ANST–GARCH algorithm
摘要点击 2436  全文点击 1412  投稿时间：2017-10-18  修订日期：2018-10-10
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DOI编号  10.7641/CTA.2018.70752
  2019,36(4):622-628
中文关键词  非对称非线性平滑转换  碳价格波动  均值回归  时变理性预期  过度反应
英文关键词  asymmetric nonlinear smooth transition  carbon price fluctuation  mean reversion  time-varying rational expectations  overreaction
基金项目  国家社会科学基金
作者单位邮编
杨星 暨南大学经济学院金融系 510630
李斌 暨南大学经济学院金融系 
曾悦 华南理工大学广州学院经济学院 
米君龙* 华南理工大学广州学院经济学院 510800
中文摘要
      本文利用非对称非线性平滑转换ANST-GARCH算法对欧盟碳排放权价格均值回归特征进行了检验,研究表明：(1)在欧盟碳交易市场三个阶段的发展进程中,第I阶段EUA价格序列变动服从均值回避,第II、III阶段EUA价格序列均具有非对称均值回归特征；(2)经过风险调整后的EUA价格序列仍然具有非对称性均值回归特征,负的均值回归速度和幅度明显大于正的均值回归速度和振幅, 三个阶段的风险补偿都具有非对称性；(3)均值回归源于投资者对市场信息冲击的过度反应,与时变理性假设无关。具体而言,在第I阶段拒绝过度反应假设,接受时变理性预期假设；第II、III阶段接受过度反应假设,拒绝时变理性预期假设。说明均值回归与投资者对信息的过度反应有关,与时变理性预期无关。
英文摘要
      In this paper, the asymmetric nonlinear smoothing transformation ANST-GARCH algorithm is used to test the average regression characteristics of EU carbon emission rights price. Research shows：(1) In the development process of the three stages of the EU carbon trading market, the EUA price series change in the I stage follows the mean aversion, the II and III stage follows the mean regression; (2) After the risk adjusted, the EUA price series still has asymmetric mean regression characteristics, and the negative mean regression speed and amplitude are significantly greater than the positive mean regression speed and amplitude, the risk compensation in the three stages all has non symmetry; (3) The mean regression originates from the overreaction of investors to market information shocks, and has nothing to do with the time-varying rational hypothesis. In the I stage, overreaction hypothesis is rejected, the time-varying rational expectation hypothesis is accepted ;In II, III stage overreaction hypothesis is acceped, time-varying rational expectation hypothesis is rejected. The mean reversion is related to overreaction of investor to information,and not the time varying rational expectations.