CAJ | 학술논문

运用CAPM模型分析了欧盟排放贸易体系（EU ETS）市场风险,通过Zipf技术研究不同预期收益下碳价波动行为。结果显示：2005～2007年第2阶段单个合约对市场风险敏感性小于第1阶段。2005～2007年的系统风险和2008～2009年较为一致,而前者的非系统风险是后者的10倍以上;2008～2009年碳市场的超额收益率较低,小于0.02%;碳价的上涨和下跌概率是不对称的,在预期收益率为20%和投资时间为250天的情况下,下跌概率高于上涨概率10%;在较低的预期收益下,碳价的涨跌受到了市场机制、季节性、异质性事件的影响;在高预期收益率下,投资者对碳价变动认知较不稳定,风险较大。
운용CAPM모형분석료구맹배방무역체계（EU ETS）시장풍험,통과Zipf기술연구불동예기수익하탄개파동행위。결과현시：2005～2007년제2계단단개합약대시장풍험민감성소우제1계단。2005～2007년적계통풍험화2008～2009년교위일치,이전자적비계통풍험시후자적10배이상;2008～2009년탄시장적초액수익솔교저,소우0.02%;탄개적상창화하질개솔시불대칭적,재예기수익솔위20%화투자시간위250천적정황하,하질개솔고우상창개솔10%;재교저적예기수익하,탄개적창질수도료시장궤제、계절성、이질성사건적영향;재고예기수익솔하,투자자대탄개변동인지교불은정,풍험교대。
The paper uses Capital Asset Pricing Model（CAPM） to analyze the market risk in European Union Emissions Trading System（EU ETS） and Zipf analysis technology to analyze the carbon price volatility in different expectations of returen.The results show the sensitivity of the future returns to the market＇s returns in the second phase is less than first phase during the years from 2005 to 2007,and that of in the second phase is less than in the first phase.The systematic risk from 2005 to 2007 are the same as in the year from 2008 to 2009,the nonsystematic risk in the year from 2005 to 2007 was more than 10 times than in the year from 2008 to 2009.Abnormal returns in carbon market are lower than 0.02% in the year from 2008 to 2009.High expectations returns will been restricted.The probability of price down is 1.1 times higher than price up when the expectations of returns is 20% and time scales is 250 days.Carbon price is affected by market mechanism,seasonal and heterogeneous events in the low expectations of returns,but the carbon price change is instable and highly risky in the high expectations of returns.