期刊名称：Journal of Computational Environmental Sciences
印刷版ISSN：2356-7279
电子版ISSN：2314-8292
出版年度：2014
卷号：2014
DOI：10.1155/2014/963964
出版社：Hindawi Publishing Corporation
摘要：Convenience yield is call options; spot holders attain excess investment revenues through holding spot assets instituted futures assets. Based on the hypothesis of convenience yields, our empirical results show that monthly convenience yield of emission allowance has significant options feature; convenience yield has strong correlation with price spread between spot and futures and their price volatility. The market information set is helpful to adjust portfolio policy and improve portfolio investment revenues of emission allowances.
