投资热度对区域碳交易市场收益率的影响分析
Research on the Impact of Investor Attention on the Carbon Trading Market Based on Panel Regression Model

本文基于2017年至2021年八大地方试点碳市场的日度交易数据，用百度指数构建投资热度的代理变量，通过面板回归方法揭示投资者关注如何影响碳期货收益。实证研究发现：第一，提前1天的投资热度提升会显著提高交易当天的碳市场收益率，而提前2天的投资热度提升会降低交易当天的碳市场收益率；第二，当天或时滞大于2天的投资热度不会对交易当天的碳市场收益率造成显著影响；第三，投资热度并不是通过量价关系影响碳价，而是有独立的影响碳价的机制。此研究结果有利于投资者和企业更好地预测碳价波动，鼓励他们更积极地参与碳市场交易，从而促进双碳承诺实现。
This paper selects daily trading data of China’s eight pilot carbon markets from 2017 to 2021 and constructs a proxy variable for investor attention using Baidu Index to reveal how investor attention affects carbon futures returns through panel regression. The empirical study finds that a rise in investor attention 1 day in advance will significantly increase the carbon market return on the trading day; a rise in investor attention 2 days in advance will decrease the carbon market return on the trading day; and investor attention day or more than 2 days in advance won’t affect the carbon market return on the trading day. Besides, the paper finds that investor attention doesn’t affect carbon price through price-volume relation but has an independent mechanism to affect carbon price. The conclusions are helpful for investors and corporates to better forecast the fluctuation of carbon price, encouraging them to participate in carbon market trading, thus promoting the realization of carbon peaking and carbon neutrality.