Study On The Volatility Spillover Effect Between The Chinese Carbon Market And The Stock Market Considering The State Transition

With the gradual liberalization of financial control,the degree of dependence between the financial markets has gradually increased,and the relationship between the carbon market and the stock market is becoming increasingly close.Studying the volatility spillover effect between China’s carbon market and the stock market is conducive to the regulatory authorities to improve the carbon market risk recognition and optimize the allocation of market resources,grasp the carbon market and the stock market transaction price relationship and the law,provide the basis for investors to establish appropriate portfolio,for enterprises to promote emission reduction efficiency,so as to promote the development of China’s carbon market.This paper analyzes the transmission mechanism between China’s carbon market and stock market from three aspects: market efficiency,government policy and investor behavior.Considering that the carbon market and the stock market in China are susceptible to structural changes due to the influence of external environment such as the stock market crash,combine Markov state transition model with DGC-MSV-t model,which can well characterize the volatility spillover direction and time-varying in financial markets.This paper chooses Hubei carbon market carbon price,Shanghai stock index,electric heating supply stock price,Forestry Animal Husbandry and fishery,stock price of rubber and plastics industry and stock price of network communication industry as China’s carbon market,China’s stock market,high carbon emissions and low carbon emissions industry Sample data.This paper empirically examines the volatility spillover effect between China’s carbon market and the stock sample industry.The research shows that structural mutations occur in the Chinese carbon market,the Chinese stock market,the high carbon industry stock market and the low carbon industry stock market.When the Chinese carbon market or the Chinese stock market is in volatility,there exists information transmission effect between the two markets.When the two markets fluctuate smoothly,there is no significant information transmission effect between the two markets.When the Chinese carbon market,the electric supply industry,rubber and plastics industry at the same time is volatile,there exists information transmission effect between markets,when one of the market fluctuations in a stable state,there There is only one-way information transmission effect on the Chinese carbon market in therubber and plastics stock market.China’s carbon market with Forestry Animal Husbandry and fishery industry and network communication industry information transmission effect is not obvious.The contribution of this research is to expand the econometric model of volatility spillover effect between financial markets and apply it to China’s carbon market and stock market.Which also provide some theoretical basis for the development of China’s carbon market,policy making and risk avoidance.