Research On The Fractal Characteristic Of China’s Carbon Finance Market

With the deepening trend of international carbon financialization,the financial attribute of carbon emission trading market has become increasingly prominent,which has attracted wide attention of regulators and investors.As an emerging financial asset,carbon emission right is gradually closely related to the financial market,and its price is more vulnerable to complex changes under the influence of macro-economy.Therefore,it is more and more important to reveal the characteristics of such changes.At the time when China’s national carbon spot market is fully established and carbon futures and related derivatives market is timely promoted,exploring the law of carbon price fluctuation can maintain the stability of carbon financial market price and improve the effectiveness of market allocation of environmental resources,which is worthy of attention.In view of this,on the basis of previous studies,this paper takes China’s carbon financial market as the research object,and puts forward three main research questions from the perspective of Finance:(1)whether China’s carbon financial market meets the basic hypothesis of efficient market hypothesis,and whether it is in the stage of weak efficient market.(2)Does the price of carbon financial market have the fractal characteristics described by the fractal market hypothesis? Does this change belong to single fractal or multifractal and what kind of change form does it take.(3)If the above problems have been verified,we need to further explore the source of this fractal feature,that is,what causes the fractal change of carbon price.In view of the above problems,this paper takes Hubei,Guangdong and Shenzhen as the most representative carbon pilot markets,and conducts the corresponding empirical analysis with MF-DFA method from the perspective of fractal market hypothesis:(1)In order to test whether there is a fractal structure in China’s carbon market that does not conform to the hypothesis of efficient market hypothesis,this paper makes a statistical test on the normality,stationarity and long-range power-law correlation of the sample carbon return rate series.The results show that China’s carbon market is a non-linear system with sharp peak and thick tail and long-range power-law correlation,so it is not applicable to EMH Therefore,it is reasonable to study the nonlinear characteristics of market price volatility based on fractal market hypothesis.(2)Taking the date of the national carbon financial market officially launched as the node,the sample is divided into two stages.In this paper,MF-DFA is introduced as the method to describe the fractal structure.It is found that China’s carbon market is in the stage of multifractal market,and the multifractal structure of different stages in different markets is significantly different,which means that individual heterogeneity and differentiated development will make regional carbon market Different responses to the same policy impact,that is,national environmental policies or the overall improvement of carbon market trading mechanism may bring different results in other markets while achieving positive effects in some carbon markets.(3)Further exploring the source of this multifractal structure,it is found that the non normal distribution of peak and thick tail is the main cause of multifractal in China’s carbon market.The possible reason is that the information in China’s carbon market has not been fully disclosed,and investors’ familiarity with and expectations of carbon financial products and trading mechanisms are not the same,which aggravates the randomness of the initial information reflected in the carbon yield rate in the market transmission,distortion and dissipation process,resulting in extreme fluctuations of the series at some time points(reflected in the distribution of peaks and thick tails)In addition,the sensitivity of carbon market to policy or information shocks varies with the development stage,which is also an important reason.