On May 13,2014,China's first "carbon bond" - CGNP's attaching carbon-yield medium-term note was formally issued,indicating that the carbon bond as a carbon finance and bond financing combination is a viable alternative to carbon finance innovation.On this background,this paper carries out empirical test of the validity and jumping characteristics of the carbon market,using the Blue Spot Exchange CER cash and futures trading data from 2008 to 2012,which showed that the CER market has long memory and is not an efficient market;there are obvious jumping features both spot and futures prices. Then the targeted one-year carbon bond based on the above is taking Datang Power Generation as an example to give the valuation under the jump fractal model.%2014年5月13日,我国首只"碳债券"——中广核风电附加碳收益中期票据正式推出,表明碳债券作为碳金融与债券融资的结合是比较可行的一种碳金融创新方式.利用BlueNext交易所2008—2012年的CER现货和期货日交易数据实证检验了碳交易市场的有效性和跳跃特征,结果发现:CER交易市场存在长记忆性,并非有效市场;且现货和期货价格均存在明显的跳跃特征.在此基础上设计的一年期碳债券,以大唐发电为例给出了在跳分形模型下的估值.
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