Analysis and Tests on Weak-Form Efficiency of the EU Carbon Emission Trading Market

摘要

This study separately applies Lo MacKinlay traditional variance ratio test, Wright non-parametric test, Chow Denning multiple variance ratio test and Joint Wright multiple variance ratio test to analyze and test the features of the EU carbon emission market and the results show that: in the 12-year development of the EU carbon emission trading, only the rate of return in the second stage follows the Martingale Process, showing a weak-form efficient market, while the first and third stages fail to possess features of an efficient market.