欧洲碳期货市场动态套利策略建模及实证研究

欧盟碳排放交易体系（EU ETS）的碳排放配额（EUA）市场和清洁发展机制（CDM）下，经核准的碳减排量二级市场（sCER）已经成为国际典型的碳期货市场，投资者如何在它们之间实现有效套利值得重视。因此，采用动态条件相关-门限广义自回归条件异方差（DCC-TGARCH）模型，探讨了2009-2016年EUA和sCER期货合约收益率的动态相关性，并考察了多种套利策略的最优套利比率和套利效果。结果表明:首先，样本区间内EUA和sCER期货价格收益率之间存在时变正相关关系，但相关程度逐渐减弱。其次，常相关-TGARCH（1，1）与DCC-TGARCH（1，1）模型的最优套利比率随时间不断变化。再次，动态套利的有效性一般优于静态套利，而DCC-TGARCH（1，1）模型的有效性优于常相关-TGARCH（1，1）；而且，与不套利相比，使用套利策略可以提高投资组合的平均收益。这些结果为投资者在碳期货市场选择跨市场套利策略提供了决策依据。

The Dynamic Arbitrage Strategies in European Carbon Futures Markets: Models and Empirical Analyses

The trading of European Union Allowance(EUA) futures contracts under the European Union Emissions Trading Scheme (EU ETS)and secondary Certified Emissions Reductions(sCER) futures contracts under the Clean Development Mechanism (CDM) has become dominant international carbon markets,and it is noteworthy to achieve effective arbitrage for investors between the two carbon market. Thus,this paper employs DCC-TGARCH models to explore the dynamic correlation between EUA and sCER futures prices and investigates the optimal ratios and effectiveness of various arbitrage strategies during 2009-2016. The results indicate that,first,during the sample period,there exists significant positive time-varying correlation between the two carbon futures markets,but their correlation extent gradually becomes weaker over time. Second,the optimal ratios of constant correlation-TGARCH(1,1) and DCC-TGARCH(1,1) models also change over time. Finally,the effectiveness of dynamic arbitrage generally appears better than that of static arbitrage,and DCC-TGARCH(1,1) model performs better than the constant correlation-TGARCH(1,1) model; meanwhile,the average returns of investment portfolio with arbitrages prove higher than those without any arbitrages. These results may help investors to make cross-market arbitrages in carbon futures markets.