TITLE:
Analysis and Tests on Weak-Form Efficiency of the EU Carbon Emission Trading Market
AUTHORS:
Xing Yang, Hanfeng Liao, Xiaoying Feng, Xingcai Yao
KEYWORDS:
Carbon Emission Market, Weak-Form Efficiency, Variance Ratio Tests
JOURNAL NAME:
Low Carbon Economy,
Vol.9 No.1,
March
7,
2018
ABSTRACT: 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.