The Price–Volume Dependences in the European and Chinese Carbon Markets: New Evidence from the Fractal Analysis

Abstract

The price–volume nexus is essential for understanding and discriminating the structure of the carbon market. The current research investigates the price–volume dependences in the European carbon market and Chinese national carbon markets through fractal methods. The results demonstrate that prices have close connections with volumes at multi-time scales in both markets, and that the price–volume correlation coefficient series in the Chinese carbon market have more intense volatility, implying that it is more difficult for Chinese investors to reach consensus on prices at different time scales than European investors. In addition, there are bidirectional price–volume transmissions in both markets. Interestingly, in most cases, the influence from volume to price is much more apparent than that from price to volume in both markets, indicating that volume acts a more important role in the price–volume transmission. Finally, the European price–volume dependence has lower risk and higher efficiency than the Chinese price–volume dependence, which is due to the fact that the European market is more mature than the Chinese market. This study has both theoretical and practical applications for policymakers and investors to make optimum decisions relating to policy formation and risk management in the carbon market.