Research On Multifractal Correlation Of Price And Volume In Carbon Market Considering Period And Asymmetry

As an emerging financial market,the carbon market is affected by complicated factors such as economy,politics,energy and environment.The price and trading volume fluctuate frequently.The existed research has proved that the market can hardly meet the strict hypothetical premise of Efficient Market Hypothesis and have fractal characteristics.As the two basic variables in the same transaction,carbon price and volume are driven by the same information.Studying the relationship between price and volume helps to understand the behavior of the market and the intrinsic dynamics of price and volume,and obtain more information about market.The existing literature based on the fractal theory to explore the relationship between the carbon price and volume only examines the status of carbon market in the early stage,and does not take the differences between different periods of market and the different market conditions into account.Taking the European Union carbon market and Hubei carbon market data as examples,this paper studies the relationship between price and volume based on the fractal theory and studies the stage difference in different market stages and the asymmetry under different market conditions.And analyze efficiency and risk of the market.This dissertation expands the research of exploring the relationship between carbon price and the volume.Cross-correlation test was used to verify the existence of cross-correlation between price and volume in domestic and international carbon market.With multifractal detrend cross-correlation analysis,this paper found that the relationship between the two markets are multifractal,and this feature is more obvious in the Hubei carbon market,indicating that Hubei's carbon market is less effective and the risk is higher.Furthermore,the study found that long memory and thick tail distribution are the reasons for the multifractal characteristics of the price-volume relationship,and the contribution of the thick tail distribution is greater.At the same time,the differences of features in the three periods(2005-2007,2008-2012 and 2013-2020)of European carbon emissions trading system are also been studied.It is revealed that the features of multifractality are different in different periods of the market,and the risk of second and third period is much lower than the first one while the effectiveness is significantly improved.Also in the early days of construction,the multifractal characteristics of the price relationship in the first stage of the European carbon market is weaker than the Hubei carbon market,the market risk is lower,and the market effectiveness is relatively higher.Using the asymmetric multifractal detrend cross-correlation analysis method to study the asymmetry of price-volume relationship under different market conditions,it is found that for the domestic and international carbon markets,the price-volume relationship and the risk of market are different when the trend of price or volume changes.This paper provides a theoretical basis for investors to understand the market behavior and avoid market risk.It also provides a theoretical reference for regulators to recognize the effectiveness of carbon market and its changes,formulate relevant policies to standardize investors' behavior,and improve market efficiency.