Abstract: In order to deal with climate change, the Kyoto Protocol and other documents gives birth to the establishment of carbon trading market with CO₂ emission rights as a commodity. It is of great significance to study the effectiveness of China's pilot carbon emission trading market for the construction of China's unified carbon market and the realization of carbon neutral target. This paper selects daily effective trading data to conduct an exploratory study on the effectiveness of China's pilot carbon market, combined with the effective market hypothesis theory and the fractal market hypothesis, and uses the run test method, the variance ratio test method, and the rescaled range analysis method respectively to analyse the effectiveness of China's carbon market. In addition, this study analyzes the reasons for the inconsistency of the calculation results caused by each method, and uses the GARCH model to test. The results show that China's pilot carbon markets fail to reach the level of weak-form efficiency. At the same time, some suggestions are given according to the current situation of China's carbon market.

Key words: market effectiveness, run test, variance ratio test, rescaled range analysis, GARCH model

摘要： 为应对气候变化问题,《京都议定书》等文件催生了以CO₂排放权作为商品的碳交易市场的建立。研究中国试点碳排放权交易市场的有效性对我国统一碳市场的建设以及碳中和目标的实现具有重要的指导意义。本文选取有效交易日数据,对中国试点碳市场的有效性进行探索性研究,结合有效市场假说理论与分形市场假说理论,分别采用游程检验法、方差比检验法以及重标极差分析法对中国碳市场有效性进行综合分析,同时探讨各方法导致计算结果不一致的原因,并利用GARCH模型进行检验。研究表明:中国试点碳市场未能达到弱式有效水平。同时,根据中国目前碳市场运行现状给出一定的建议。

关键词: 市场有效性, 游程检验, 方差比检验, 重标极差分析, GARCH模型