期刊
JOURNAL OF CLEANER PRODUCTION
卷 183, 期 -, 页码 786-796出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.jclepro.2018.02.150
关键词
Liquidity dynamics; Emissions allowances; Pricing efficiency; Illiquidity ratio; Trade-based liquidity; Volatility clustering
资金
- National Natural Science Foundation of China [71673236]
- China Postdoctoral Science Foundation [2016M590432]
- Philosophy, Society and Science Planning of Zhejiang province [18NDJC139YB]
- Zhejiang Provincial Natural Science of China [LY14G030013]
- Research Planning Foundation on Humanities and Social Sciences of Ministry of Education of China [17YJA810007]
The liquidities of China's emissions trading markets have significant impacts on emissions allowances price movement and pricing efficiency. Liquidity measures on illiquidity ratio and trade values indicate Hubei emissions allowances (HBEA) product has the highest liquidity, Shenzhen allowances (SZA) and Guangdong emissions allowances(GDEA) products have the higher liquidity than Beijing emissions allowances (BEA) and Shanghai emissions allowances (SHEA) products, while Tianjin emissions allowances (TJEA) product has the lowest market liquidity in considered China's emissions trading pilots. The dynamics of the illiquidity ratios for all selected emissions allowances products are negatively related with emissions allowances returns, and trade volumes for BEA, TJEA, SZA and HBEA products are also negatively related with emissions allowances returns. The dynamics of daily illiquidity ratios and trade-based liquidity in Beijing, Tianjin, Guangdong, Shenzhen, Hubei emissions pilots have significant volatility clustering impacts on the variances of regional emissions allowances returns. Previous market shocks of overnight and intraday price variations have the more persistent influences on the GDEA returns than HBEA returns, reflecting greater inter-day price ranges clustering effect. (C) 2018 Elsevier Ltd. All rights reserved.
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