Research On The Risk Transmission Of China’s Carbon Market And Energy Market From The Perspective Of Fractal And Time-varying

On the basis that the energy market will be affected by the carbon market,some reasonable carbon trading policies can be developed by using the risk mechanism between the carbon market and the energy market.Meanwhile,the fractal market hypothesis is considered to be able to better describe the complex characteristics between financial markets.This paper takes the carbon price and energy market(oil,coal,gas and new energy)index data of three pilot projects(Guangdong,Hubei and Shanghai)in China’s carbon emission trading market as the research object,analyzes the multifractal characteristics of their yield series,and conducts an indepth study on the risk situation of the market based on the multifractal characteristics and time-varying perspective,the main research contents are as follows:First,this thesis reviews the research status of multifractal theory,risk transmission effect and carbon market risk,and introduces the theoretical method of fractal market,the basic principle of risk spillover method and the theoretical connection between China’s carbon market and energy market.Second,using the MF-DFA method to analyze the multiple fractal characteristics of the Chinese carbon and energy market return series,and the various multiple fractal characteristics are used to better understand the issues of long memory,risk,extreme risk and effectiveness of the market,as well as the time-varying analysis of the market.Then,using the Qcc(m)correlation test to initially determine the degree of cross-correlation between the series,and the MF-ADCCA method was applied to analyze the asymmetric cross-correlation between the markets under different trends,proving that there are multiple fractal cross-correlation characteristics between the Chinese carbon market and the energy market,and comparing the risk size between the two markets using the width of the multiple fractal spectrum.Finally,using the DMF-ADCCA model to analyze the asymmetric cross-correlation between carbon and energy markets based on different risk transmission directions,and then the risk transmission mechanism is analyzed,and using TVP-VAR-SV model to analyze the spillover effects between carbon and energy markets from a time-varying perspective.energy market spillover effects from a time-varying perspective.The results of the study show that the oil market is still the traditional energy market with the greatest impact on the carbon market,while the role of the new energy market in influencing the carbon market is also gradually increasing.