| Environmental issues,especially global warming caused by greenhouse gases,have attracted wide attention among governments.As the largest carbon dioxide emitter and the largest developing country,China has actively taken measures to reduce carbon emissions,among which carbon emission trading is one of the ways.Since 2013,China has piloted carbon emissions trading in eight cities like Shenzhen,Beijing and Guangdong.In 2017,China established a nationwide cross-provincial trading market for the power industry,which has made great progress.However,due to the fact that China's carbon emissions trading is still in its infancy,the eight pilot markets are still operating independently,so each market has its own trading system with great difference in trading price and vitality.The core issue in the carbon emissions trading market is the carbon trading price.Although China's carbon price signal has been initially formed,the price of carbon trading in each pilot area is quite different,and it also experiences sharp and abnormal fluctuations.Only by forming a reasonable carbon trading price,the market mechanism can lead to the effective allocation of resources,thus realizing low-carbon economic development.Therefore,it is necessary to comprehensively analyze the fluctuation characteristics of the carbon emissions trading price,and compare the regional differences of it,so as to provide experience for the stable development of China's carbon trading market,and also provide important reference for promoting the unification of the national carbon emissions trading market.Domestic and foreign scholars have carried out a lot of research on the fluctuation characteristics of carbon emissions trading price and its influencing factors.Therefore,there is a relatively solid theoretical basis,which lays the foundation for this paper.Through analyzing the relevant research,the following shortcomings are found: firstly,the existing research mainly studies the characteristics of price fluctuation from the perspective of spot goods and futures in the EU,and most of them are focused on mature markets such as the EU;secondly,most of the studies are concentrated on just one aspect of its features in volatility clustering,persistence and asymmetry.Few literature fully combines these three aspects together,and theregional differences are seldom considered too.Therefore,this paper takes the closing price in China's eight pilot markets as the research object,through building GARCH family model to analyze the fluctuation characteristics of the trading price in China's pilot markets,and its regional differences are analyzed.The research contents and conclusions of this paper mainly include the following aspects: firstly,ARCH model,GARCH model and asymmetric GARCH model are constructed.Then,sample selection and data processing are carried out.Taking the eight carbon trading pilot markets like Shenzhen,Shanghai and Beijing as research objects,through natural logarithmic processing,the price return series are obtained.Secondly,the GARCH family model is used to analyze the fluctuation characteristics of carbon trading price in China's pilot markets.Before the analysis of GARCH family model,the mean equation can be established according to the results of stationarity test and autocorrelation function graph.Then the ARCH LM test is carried out to determine the existence of ARCH effect,and then the GARCH model is established.After that,the GARCH model is used to study the volatility clustering and persistence of the trading price,and then the asymmetric GARCH model is used to study the asymmetry of price volatility and its impact.In addition,the differences of price fluctuation characteristics among the carbon pilot markets are compared and analyzed.Through the above empirical research,the following things can be found:the price return of the eight carbon pilot markets in China shows non-normal distribution;the price in other carbon trading markets except Tianjin is characterized with “fat tail”;and the fluctuation of carbon trading price in Shenzhen,Beijing,Guangdong and Hubei shows significant volatility clustering.The carbon trading price in Shenzhen,Guangdong and Hubei has significant persistence and long-term memory,which is relatively weak in Shanghai and Beijing.Carbon trading price in Shenzhen,Shanghai,Beijing,Guangdong and Hubei is asymmetric on the whole,while this is relatively weak in the markets of Shenzhen and Shanghai.Among them,price fluctuation in Shenzhen,Beijing,Shanghai and Hubei presents "leverage effect",while it shows "anti-leverage effect" in Guangdong.The innovation of this paper is mainly embodied in two aspects: first,it's the expansion of the research content.Considering the volatility clustering,persistence and asymmetry of carbon emission trading price in China's pilot markets,the comprehensive analysis of price fluctuation characteristics can provide experience for effectively ensuring the smooth development of carbon emissions trading market.Second,it's the innovation of research perspective.Fully considering the regional differences in the fluctuation characteristics of carbon emissions trading price,thispaper provides an important reference for promoting the unification of the national carbon emissions trading market in an all-round way.In the future research,it can also combine the financial market,industrial market,energy market and other related markets with China's carbon emissions trading market to explain the price characteristics by dividing the different zones and stages. |
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