earticle

영어

This study is to analyze the hedge ratio and the hedge performance of the Carbon Emission futures contracts. we especially focus on EUA and CER which are sorts of the Carbon Emission and based on EU-ETS. In the study, the sample period is covering from September 2, 2009 to March 29, 2013 and a total of 928 time series are used. To estimate the hedge ratio, this study uses the naive model, the ordinary least square(OLS) model and the vector error correction model(VECM). The hedge performance calculated by these models is compared. The major results of this study are as follow: First, as results of the ADF and PP test, both the Carbon emission spot and futures returns are non-stationary at the price levels. After log price first differences, two time series are stationary. From the results of the Johansen’s cointegration test, there is a cointegration relationship between the two prices series. Second, the optimal hedge ratio of the OLS model is the highest and the naive model is the smallest. And there are statistically meaningful differences among models as a result of the ANOVA analysis. Third, generally, the hedge performance of the OLS model is better than the naive model and VECM. In conclusion, investors are encouraged to use the OLS model to hedge the risk of the Carbon emission spot market.