Abstract
This paper examines the price of carbon emission rights published by the China Emissions Exchange (Shenzhen), analyzes the statistical characteristics of the price series and uses a generalized autoregressive conditional heteroskedasticity (GARCH) model to describe the price fluctuation of carbon emission rights and risk formation mechanisms. The study shows the following results: since 2013, China’s carbon emission rights prices have become more stable. The fluctuation of yield has gradually decreased and the market has approached a more mature stage. However, after 2018, due to factors such as the economic downturn and insufficient market information, the amplitude of price fluctuations has started to rise while frequency is increasing, which shows an asymmetry trend. The market trading risk is accumulating constantly.
Highlights
As an effective market scheme of responding to climate exchange, carbon emission allowance trading has already attracted a lot of attention from governments and scholars all over the world
China has carried out pilot carbon emission trading in nine provinces
We study the statistical characteristics of the prices of carbon emission allowance and their effect based on a time series analysis of the China Emissions Exchange from August 2013 to September 2019
Summary
As an effective market scheme of responding to climate exchange, carbon emission allowance trading has already attracted a lot of attention from governments and scholars all over the world. As the world’s largest developing country and a responsible nation, how to effectively cope with climate change and achieve sustainable development is an important issue for China. China will establish a national unified carbon emission trading market. The overall scale of China’s carbon market will have surpassed the EU Emission Trading System (EU ETS), and China’s carbon market will have become the world’s largest emissions trading market. Due to the short time of pilot operation of China’s carbon trading market, the relevant system and market trading environment are not perfect; there are still many problems that we need to study
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