Abstract
This paper gives the first empirical analysis on the stylized facts of the returns of five carbon emission market in China. The results mainly show that: (1) there exist heavy tails in returns and weak autocorrelation in both raw and absolute returns; (2) returns show strong volatility clustering, leverage effect, but weak long-range dependent property; (3) returns and trading volume are power-law correlated. All these findings suggest that returns of carbon emission market display the similar stylized facts found in equity market.
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