随着我国碳交易市场不断发展，碳排放权作为一种新兴的金融资产正在被越来越多的投资者纳入大类资产配置的范畴，由于化石能源的燃烧是二氧化碳的主要来源，而且工业企业可以通过技术升级等方式在不同燃料间（煤炭、石油、天然气等）转换，这导致了化石能源价格与碳市场价格存在内在的相关关系，因此研究碳市场与化石能源市场波动的相关关系对引导碳市场投资者进行资产配置有着重要意义。本文基于深圳碳排放权试点的数据，建立DCC－（ BV） GARCH模型研究国内碳市场与化石能源市场收益率波动的动态相关关系，研究发现碳市场与煤炭市场、石油市场间收益率波动的相关系数存在明显的时变性，因此碳市场的投资者应当关注碳市场与化石能源市场波动的相关关系，通过合理的资产配置降低资产组合的风险，同时需要不断对资产组合的配置比例进行调整，积极进行风险管理，获得更高的风险调整收益。%Along with the rapid development of carbon emission trading market in China, the carbon emission has been allocated into more and more investors’ portfolios as a new financial asset� As the burning of fossil fuels is the main source of carbon dioxide, and industrial enterprises can transform their use of fossil energy ( coal, oil and gas ) through technology development, the price of fossil energy and carbon emission has intrinsic relationship. As a result, the research which focus on the dynamic correlation between carbon emission trading market and fossil energy market is really important for carbon market investors to manage their asset portfolios� This paper used DCC- ( BV ) GARCH model to explore the dynamic correlation between the return volatility of carbon market and fossil energy market based on the data of Shenzhen carbon emissions pilot. The research found that the correlation coefficients of the return volatility between the carbon market and coal market, oil market are obviously time-varying� Therefore, the carbon market investors should pay attention to the correlation relation of the fluctuations between the carbon market and fossil energy market� They also need to reduce portfolio risk through reasonable asset allocation, continue to adjust the allocation ratio of portfolio and actively carry out risk management to obtain higher risk adjusted returns.
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