Research On Price Linkage And Risk Spillover Effect In China’s Carbon Market

Nowadays,global warming is a serious problem,and the excessive emission of carbon dioxide has become a concern shared by all nations.In order to effectively curb the problem of climate warming,a carbon trading market comes into existence.China’s carbon trading market is comparatively embryonic and immature,and the carbon market has different geographical locations and different participants.There are different degrees of correlation between the prices in each carbon market and risk spillover between the two markets.In the context of the relatively short history of China’s carbon market and an unsatisfactory market environment,the degree of price linkage and the size of risk spillover between Chinese carbon market pilots is an issue worth studying.The research uses five carbon pilot markets,Beijing,Shanghai,Shenzhen,Guangzhou,and Hubei,due to the time period of the sample data and the market’s activity.From the Wind database,it obtains the daily closing price data of the five carbon market with January 5,2015 to June 9,2022 as the sample space,which is used as the basis.First,the five carbon market pilot prices were logarithmized to provide descriptive statistics on them.Secondly,the yield data are tested for smoothness and heteroskedasticity,it is considered suitable for subsequent analysis.Thirdly,a DCC-GARCH model is constructed for the yield series to measure the dynamic correlation of prices among the five carbon markets.To measure the risk spillover effects,the external environment is divided into regular and extreme states,and the BEKK-GARCH model,quantile regression model are used correspondingly to measure the risk spillover effects among the five carbon market pilots in different states.Finally,summarize and conclude the above empirical results.There is a significant correlation between the prices of the five carbon markets in the conventional state,and the risk spillover effect among the carbon markets is asymmetric,with the two-way risk spillover effect being stronger in Guangdong,Hubei,and Shanghai,and the one-way risk spillover effect existing to varying degrees in the other carbon markets.The spillover effect of Beijing and Shanghai carbon markets is more obvious.The innovation point of this research is the research perspective and research method,from the perspective of several pilots in the Chinese carbon market,combining the DCC-GARCH model,BEKK-GARCH model and quantile regression model.Classify the risk spillover conditions into regular and extreme states.Filling the current less involved content,which is new in the use of methods especially in combination.However,since the current national carbon emission rights market has now officially started trading,this research does not use the data of this market considering the short time span of this market,so there are some shortcomings.