中文版 | English
Title

Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China

Author
Corresponding AuthorWang,Susheng
Publication Years
2022-09-26
DOI
Source Title
EISSN
2296-665X
Volume10
Abstract

In recent years, carbon market transactions have become more active. The number of countries participating in carbon market regulation is increasing, and the carbon market’s overall turnover continues to grow. It is important to study the features of carbon allowance price volatility for the stable development of the carbon market. This paper constructs a modified ICSS-GARCH model to analyze the volatility of carbon price returns and the dynamic characteristics of price fluctuations in the emissions trading system of the European Union (EU-ETS) and the Chinese carbon pilot markets in Hubei. The results show that fluctuations in carbon price returns have a leverage effect and that the impact of negative news on the market is stronger than that of positive news. The international climate and energy conferences, abnormal changes in traditional energy prices, and global public health emergencies all affect volatility and cause shocks to the carbon trading market. The modified ICSS-GARCH model with structural breaks can reduce the pseudovolatility of the return series to a certain extent and can improve the accuracy of the model. This research can give policymakers some implications about how to develop the carbon market and help market participants control the risks of fluctuations in carbon allowances. Regulators should enhance carbon price monitoring and focus on short-term shocks in the carbon market to reduce trading risks. The Chinese carbon market should strengthen the system design and develop carbon financial derivatives.

Keywords
URL[Source Record]
Indexed By
Language
English
SUSTech Authorship
First ; Corresponding
Funding Project
Shenzhen Humanities and Social Sciences Key Research Bases[GD18XYJ36]
WOS Research Area
Environmental Sciences & Ecology
WOS Subject
Environmental Sciences
WOS Accession No
WOS:000875391200001
Publisher
Scopus EID
2-s2.0-85139459440
Data Source
Scopus
Citation statistics
Cited Times [WOS]:0
Document TypeJournal Article
Identifierhttp://kc.sustech.edu.cn/handle/2SGJ60CL/406200
DepartmentSchool of Business
商学院_金融系
Affiliation
1.School of Business,Southern University of Science and Technology,Shenzhen,China
2.School of Economics and Management,Harbin Institute of Technology,Shenzhen,China
First Author AffilicationSchool of Business
Corresponding Author AffilicationSchool of Business
First Author's First AffilicationSchool of Business
Recommended Citation
GB/T 7714
Yu,Haixu,Wang,He,Liang,Chuanyu,et al. Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China[J]. Frontiers in Environmental Science,2022,10.
APA
Yu,Haixu,Wang,He,Liang,Chuanyu,Liu,Zhaohua,&Wang,Susheng.(2022).Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China.Frontiers in Environmental Science,10.
MLA
Yu,Haixu,et al."Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China".Frontiers in Environmental Science 10(2022).
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