Abstract：In this paper, Shenzhens carbon allowance is taken as the main research object to analyze the characteristics of information flow and transmission of carbon trading market, and to explore the microstructure of carbon trading market First, GARCH model is used to analyze the volatility characteristics of carbon allowance returns, as well as the impact of trading volume on the volatility persistence of returns Then VAR model is used to further study the dynamic relationship among different varieties of trading volume, return and volatility The results indicate that the emergence of new carbon trading varieties would increase the activity of carbon trading market; and trading volume can be used as a proxy variable of the arrival of market information, and the pulse of trading volume information makes the return rise, and the volatility fall, and the return and volatility of the two trading varieties have mutual causal relationship.
王学军，尹改丽. 碳交易市场微观结构及信息传递机制研究[J]. 珞珈管理评论, 2016, 12(2): 149-.
Wang Xuejun,Yin Gaili. Research on the Microstructure and Information Transmission Mechanism of Carbon Trading Market. JOURNAL OF MANAGEMENT RESEARCH, 2016, 12(2): 149-.