Research On The Spillover Network Between China's Carbon Market And Energy Marke

As China’s carbon market continues to develop,its close connection with the energy markets is becoming increasingly apparent.A systematic study of the spillover effects and network characteristics of carbon and energy markets under different quantile conditions is important,as it can help prevent the price fluctuations of carbon trading and promote the stable operation and coordinated development of China’s carbon market.In this paper,a new quantile extended joint connectedness approach is used to make an empirical analysis of China’s carbon market and related fossil and clean energy markets.Based on the spillover matrix,different connectedness networks are constructed by using threshold method and multidimensional analysis method to study the network structure and diffusion mechanism of spillover effects between markets.This paper further selected the EU carbon market as comparisons,to provide reference for the development and promotion of China’s carbon market.The main conclusions are as follows:(1)In the systematic spillover of carbon market and energy market,the impact of price and volatility information has different performances under different quantiles conditions.Specifically,the price information impact under extreme quantile will increase the spillover between markets,but the volatility information impact has asymmetric influence.The volatility information under high quantile(positive volatility information)will increase the total spillover of the system,while the total spillover under low quantile(negative volatility information)is similar to the general market conditions.(2)The spillover effect between markets has significant time variability,and the impact of extreme events will strengthen the linkages between markets.The outbreak of COVID-19 makes the spillover effect in the system reach the peak in the sample period,and the impact is more obvious under general market conditions.(3)China’s carbon market is an information transmission market,but the transmission intensity is weaker than that of clean energy market,and the degree of connection between EU carbon market and energy markets is greater than that of China’s carbon market.At extreme quantiles,there is only spread of volatility information between China’s carbon market and energy market,while there is no spread path for price information.This indicates that compared to the China’s carbon market,the EU carbon market has higher maturity and effectiveness,and its operational and regulatory mechanisms are also more comprehensive.