本文研究主要在探討，歐盟排放權配額(European Union Allowance，EUA)期貨價格報酬與擁有碳匯林業公司股票、基金報酬之互動關係。變數選取EUA與9間林業公司股票及林業基金價格報酬，建立向量自我迴歸模型(VAR)，以計量分析EUA對變數報酬是否具有顯著性影響，再進行格蘭傑因果關係檢定、脈衝響應函數分析及預測誤差變異數分解。

研究時間，選取歐盟碳排放權交易體系(European Union Emissions Trading System，EU ETS)的三階段，從第一個階段的2005年至2007年、第二個階段的2008年至2012年、第三個階段的2013年至2020年。再進一步研究歐盟土地法案通過後的樣本時間從2018年5月至2021年11月。

結果表明，於EU ETS交易體系的三階段期間，EUA期貨價格對其它變數研究結果顯示，此三階段皆未有明顯對擁有碳匯之林業公司股票、基金價格報酬有顯著性影響。

進一步研究結果表明，以2018年5月至2021年11月為研究區間時。此階段EUA期貨價格對多個變數報酬有顯著性影響。此結果表示變數對政策變化具關聯性，對擁有碳匯之林業公司股票、基金報酬亦存在影響。

This study is mainly to explore the relationship between the return of European Union Allowance (EUA) futures price and the return of the stocks and ETF funds which are hold by carbon sink companies. EUA, nine forestry company stocks and forestry fund (WOOD) price return are selected to set up VAR model and to analyze whether EUA has significant impact on variable returns by using quantitatively analysis methods. Further, it is to carry out Granger causality test, impulse response analysis and forecast error variance decomposition.

The research is to select European Union Emissions Trading System (EU ETS) which has three phases, the first phase is from 2005 to 2007, the second phase is from 2008 to 2012, and the third phase is from 2013 to 2020. After the EU laws of Land were approved, it is further to study some samples which are from May 2018 to November 2021.

The result shows that EUA future price does not have obvious effect on return of stocks and ETF funds which are hold by carbon sink companies during the three phases of the EU ETS.

Consequently, samples are selected from May 2018 to November 2021, it shows EUA future price has a significant impact on multiple variable returns, then the variables have influence on policy variable and return of the stocks and ETF funds which are hold by carbon sink companies

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