Research On Financial Risk Spillover Effect Of Carbon Pilot Market

In order to deal with the problem of global warming,China,as a developing country,actively undertakes the responsibility of emission reduction.In 2011,the National Development and Reform Commission took the lead in launching carbon emission trading pilot projects in seven provinces and cities including Beijing,Shanghai,Chongqing,Tianjin,Guangdong,Hubei and Shenzhen.Since 2013,eight carbon pilot markets,including Beijing,Shanghai,Tianjin,Guangdong,Hubei,Chongqing,Shenzhen and Fujian,have been running successively.At the beginning of operation,the quota allocation policies adopted by each carbon pilot are quite different.In March 2016,the 13 th five year plan was issued,requiring the construction of a unified national carbon market to be officially launched in 2017.With the price fluctuation and risk increase in the international carbon market,as an emerging market,how to identify and avoid risks in China’s carbon market has become an urgent practical problem to be solved.To study the Financial Risk Spillover Effect among the carbon trading pilots in China is helpful to find out the law of price risk contagion and one or several markets that play a leading role in the carbon market spillover,so as to provide a reference for the establishment of the national carbon market.This paper reviews the past literature,taking market segmentation theory,efficient market hypothesis,and "herd effect" of investors in behavioral finance as the theoretical basis to explain the spillover effect of carbon market,and divides the carbon trading price from the beginning of trading in China’s carbon pilot market to the end of July 2019 into two stages with the establishment of a unified national carbon market in 2017 as the dividing line,using empirical research.The mean spillover and volatility spillover effects between carbon pilot sites are tested by the analysis method in stages.In the study of mean spillover effect,Granger causality test and VAR model are used to test the contribution of each carbon pilot to other carbon market points and its own mean spillover effect;in the study of volatility spillover effect,VAR-GARCH-BEKK model is used to reflect the effect of volatility spillover in each market through its arch and GARCH coefficients,and the results are concluded from the perspective of market effectiveness.The market efficiency test explains the result of volatility spillover effect.The empirical results show that the mean spillover effect and volatility spillover effect of the second stage of China’s carbon pilot market are better than those of the first stage,and the following conclusions are obtained: the implementation of the policy of establishing a national unified carbon market in China has certain effect on reducing the segmentation of carbon financial market,enhancing market liquidity,and enhancing the mean spillover effect between carbon financial markets;a carbon market has certain effect on There is a certain correlation between the volatility effect of other markets and the effectiveness of the market.When the carbon market with higher efficiency receives the information shock,the price will react in place faster,thus causing volatility spillover to other carbon markets;the carbon market with larger trading volume and trading volume is more likely to be in the dominant position in the spillover effect.