| The purpose of the establishment of the trading market of carbon dioxide emission is to achieve the reduction of greenhouse gas emission by market-oriented approaches.Since 2013,China has successively established seven pilot carbon markets in Shenzhen,Shanghai and other places,and then established non-pilot markets in Sichuan and Fujian in 2016.It is expected that the national carbon market with power generation industry as a breakthrough will be officially launched in 2021.This paper selects seven carbon markets,including Beijing,Shanghai,Shenzhen,Hubei,Guangdong,Chongqing,Fujian,to study both fluctuation characteristics and effect factors of carbon emission trading price and propose policy suggestions,so as to give a reference to form an effective carbon emission trading price transmission mechanism for the to-be-opened national unified carbon market.First,a series of GARCH family models is established with the aim that taking study on the continuity,risk compensation and asymmetry of the fluctuations in the yield of carbon emission trading price.The study founding:（1）In terms of volatility continuity,different pilot carbon prices get different effect in the influence of external shocks and fluctuations in the previous period.And the continuity of fluctuations is different caused by external shocks.Carbon market yield series show the effect of long-term memory obviously in Shanghai,Fujian,Hubei,Beijing,and Guangdong,while the response to external news is relatively short in Chongqing and Shenzhen;（2）In terms of volatility risk compensation,the matching degree of profit and risk are not good in other carbon markets.There is only a positive relationship between the risk and the rate of return in Shanghai carbon market.Other carbon markets have not compensated for the risk which is contained in the rate of return;（3）In terms of volatility asymmetry,there are obvious asymmetric effects in Beijing,Guangdong,Shanghai and Beijing Shenzhen.Based on the study mentioned above,VAR Model was further applied to demonstrate the effect factors of carbon price.Nine variables from four levels,macro-economy,energy price,international carbon asset price and RMB exchange rate,were selected and the direction,duration and degree of their impact on carbon price were discussed.It was found that:（1）It was found that: for the direction of impact,a difference relationship was distinct between macroeconomic development,traditional energy prices,international carbon assets,RMB exchange rates and carbon emission trading price;（2）For the cycle of effect duration,various factors showed a different impact on the carbon price of different carbon markets.The market in Beijing,Shenzhen and Chongqing was generally affected for a longer time;（3）For the degree of impact,carbon price was most affected by its own previous price.Its response to external shocks was not high.The carbon price in Shenzhen was the most sensitive to response to external shocks.In addition,for the overall carbon market in China,while the traditional energy price had a weaker impact and the impact from the various factors on carbon price had a time lag. |
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