Which Market Has A Stronger Spillover Effect On Chinese Carbon Market?

With the development of globalization and the acceleration of industrialization,the environment has been severely damaged.In order to alleviate the problem of climate deterioration,a financial system centered on carbon market transactions has emerged.Compared with the mature European carbon market,Chinese carbon market development started later.But it has achieved certain results under the strong promotion of relevant national policies.The research on the carbon market not only accelerates the realization of Chinese action targets for controlling greenhouse gas emissions,but also has a close correlation with the transformation of economic development models and industrial competitiveness.In this context,the research in this paper is particularly important and urgent.However,a large number of research results mainly focus on the research of the European carbon market.The research literature on Chinese carbon market price is not much and very fragmented,and the degree of integration with the development of Chinese carbon market is not high.Therefore,this paper selects similar market and non-similar market,studies the spillover effects of Chinese carbon market,and compares Chinese carbon market with the spillovers of these two markets,making the research results more scientific.This paper firstly selects Chinese carbon market,combines the trading situation,trading mechanism and related literature of Chinese carbon market,and finally selects Hubei carbon market as the research object of Chinese carbon market.Secondly,the selection of similar carbon market,EU carbon market as The market with the most mature development,the most complete system and the most influential to the international carbon market,so this paper selects the EU carbon market as the representative of the same kind of carbon market;Again,this paper carries out the selection of non-similar markets,because there are many non-similar markets and the impact mechanism is not clearly,in order to confirm whether non-similar markets(coal market,oil market,electricity market and stock market)have influence on Chinese carbon market and influence the size,the VAR model is used to study the impact effect,and the coal market with the greatest impact of variance decomposition is selected as the non-similar representative of the market.Finally,this paper conducts a comparative empirical analysis of the coal market,the EU carbon market and Chinese carbon market spillover effect.After a series of tests on the prices of the three markets,the vector error correction model is constructed to study Chinese carbon market and coal market,as well as Chinese carbon market and the EU.The equilibrium relationship between the carbon market and the analysis of the spillover effect between the coal market and Chinese carbon market and the EU carbon market and Chinese carbon market by constructing the DCC-GARCH model.The research results show that the contribution of variance between the energy market and Chinese carbon market is much higher than the contribution between Chinese carbon market and the European carbon market.When Chinese carbon market deviates from the European carbon market,Chinese carbon market will react faster and reach equilibrium.The European carbon market is not easy to adjust in the short term.In the DCC-GARCH studying,it shows that Chinese carbon market and energy market and Chinese carbon market and European carbon market have two-way wave effect,but Chinese carbon market has weak spillover effects on energy market and European market.At the same time,Chinese carbon market and energy market are more coherent,and the ability to adjust between markets is stronger,and the degree of relevance is higher.In other words,the energy market has a stronger spillover effect on Chinese carbon market.The possible contributions of this paper are mainly in two aspects.On the one hand,the research in this paper makes up for the shortcomings of Chinese carbon market analysis and is a useful supplement to Chinese carbon market research.The research in this paper enriches the quantitative research of Chinese carbon market.Moreover,the study of Chinese carbon market price helps to control risks and avoid risks in advance.On the other hand,using the DCC-GARCH model to study the spillover effect of Chinese carbon market,this paper does not only consider the spillover relationship between the carbon market and a certain type of market,and the spillover effect of non-similar markets and similar markets on Chinese carbon market.Comparative analysis can more accurately describe the fluctuations of Chinese carbon market.