Volatility Spillovers Among Chinese Carbon Markets

Since the 21 st century,the global climate has changed multiterminal.There also has many smog frequent extreme weather.In order to cope with global climate change and control carbon dioxide emissions,many countries have joined the ranks of energy conservation and emission reduction.China has established nine regional carbon trading pilot,since 2013 all pilot have been to start.Starting in December 2017,a national carbon trading market construction is the official start of.The research on the effectiveness of carbon trading market and the spillover effect of each other will deepen people's understanding of carbon market information and risk transfer,and provide reference for the establishment and risk supervision of carbon market in other provinces and cities throughout China.This paper first describes the current situation of the eight carbon trading markets in Beijing,Shenzhen,Guangdong,Tianjin,Shanghai,Hubei,Chongqing and Fujian,and selected six carbon market data in addition to Fujian and Chongqing to conduct an empirical study.i conducted a descriptive survey of the monthly data from April 2014 to July 2017,and tested the validity of the carbon market by means of stationarity test and variance decomposition,and establishing multivariate GARCH-BEKK model,granger causality test and variance decomposition inspection at the same time,the ARCH effect inspection and so on,to research the spillover effect between the current carbon market in China.The test results are as follows:firstly,all of the above six carbon markets are weak efficient,and the effectiveness of different markets is different;secondly,the Guangdong carbon trading market has a one-way mean spillover effect on the carbon trading market of Shenzhen and Hubei carbon trading market has a one-way mean spillover effect on the carbon trading market of Tianjin,and the mean spillovers effect between other markets is not significant;thirdly,the influence range of the mean spillover effect between the carbon trading market is concentrated in 6-7 cycles;fourthly,there is a significant two-way fluctuation spillover effect between Shenzhen carbon trading market and Guangdong carbon trading market,Hubei carbon trading market and Beijing carbon trading market,Tianjin carbon trading market and Hubei carbon trading market,and the degree of different markets are different.Based on empirical results,we can conclude that,firstly,our carbon trading markets have beenweak efficient,but the validity of the market is different,and the market's effectiveness has yet to be improved;secondly,there is a spillover effect in the carbon market.The existence of spillover effects may increase the market risk,so it is necessary to take measures to prevent the trading risk of carbon market.This paper studies the latest monthly data of the six carbon markets with a large trading volume,and analyzed the empirical results based on market effectiveness.Than put forward corresponding proposal in perfecting market mechanism,improving market liquidity and strengthening supervision.The specific measures include adjusting market coverage,optimizing total emission reduction and target,adjusting carbon quota,enriching trading subject,innovating financial products,establishing specialized regulatory agencies and improving the regulatory system.The research of this paper will provide reference for the improvement of carbon market effectiveness and risk prevention and control.