Empirical Analysis Of Carbon Market And Energy Market Based On Fractal And Wavelet Methods

The establishment of the carbon emission market is of great significance to promote the sustainable development of the economy and society.The fluctuation characteristics,market efficiency and linkage effects with other markets of the carbon emission market have also received extensive attention.An important factor affecting carbon emissions is the combustion of chemical energy.The fluctuation of chemical energy prices will trigger changes in the energy demand of control enterprises,which will have an impact on carbon prices.Based on the above background,this paper has done the following studies:First,we use the asymmetric multifractal detrended fluctuation analysis(A-MF-DFA)method to study the fluctuation characteristics of carbon market prices in China and the European Union under three different trends.The empirical results show that there are obvious asymmetric multifractal characteristics in China carbon emission market and Europe carbon emission market,and when there is an upward trend,the multifractal characteristics of the two markets are more significant.At the same time,the asymmetric multifractal detrended cross-correlation analysis(A-MF-DCCA)method is used to study the asymmetric cross-correlation between the two carbon emission markets.The empirical results show that there is an obvious asymmetric cross-correlation in the carbon emission market in China and Europe.When there is an upward trend,the asymmetric multifractal cross-correlation of the two markets is more significant.Second,we use the A-MF-DFA method to study the fluctuation characteristics of Chinese coal market,European Brent crude oil market and American natural gas market.The empirical results show that there are significant asymmetric multifractal characteristics in three energy markets.In the upward trend,the multifractal characteristics of the crude oil market and the natural gas market are more significant,while the multifractal characteristics of the coal market in the downward trend are more significant.Then use the A-MF-DCCA method to analyse the multiple fractal characteristics of the asymmetric cross-correlation between the three energy markets.The empirical results show that there is an obvious asymmetric cross-correlation between the three energy markets,and the cross-correlation multifractal are more significant in the downward trend.Thirdly,we also use the methods of maximal overlap discrete wavelet transform(MODWT),wavelet coherence and wavelet phase difference to analyze the fluctuations and co-movement between the carbon market and energy market in different frequency domains.The empirical results show that there is a co-movement between the carbon emission market and energy market.Especially,the comovement becomes more significant in the middle and low frequency.In most cases,the price fluctuations in the energy market have outpaced those in the carbon market,while in rare cases,there is an in-phase or anti-phase movement between two markets.Finally,some policy suggestions are given.