Research On The Volatility Of Carbon Emission Market In Beijing,Guangzhou,Shenzhen And Its Correlation With Traditional Market

As a special financial product to deal with global climate change,carbon emission rights show similar characteristics with other traditional financial assets,such as volatility aggregation,peak and thick tail.In the context of low-carbon economic development,carbon emission rights will become an important tool to balance economic growth and emission reduction pressure.At present,China’s market system is not perfect,facilities are not perfect,and the price of carbon emission rights fluctuates sharply.Due to the impact of random events on carbon emission rights,carbon prices will also show varying degrees of jump.Therefore,accurately depicting the jumping characteristics of carbon emission market is conducive to the product pricing and risk management of carbon emission market,and improves the operation efficiency of carbon emission market.This paper selects three domestic mature pilot markets,in order to get the conclusion about the relative universality of China’s carbon emission market.Firstly,based on the previous studies,it is found that most of the existing literatures focus on the international carbon emission market,such as the European Union.Most of the research content is about the influencing factors of carbon market,while the research on volatility and correlation is less.Therefore,this paper focuses on the volatility and correlation of China’s carbon emission market.Secondly,the characteristics and development status of China’s pilot markets of carbon emission rights are analyzed.It is found that the pilot markets develop independently,there are policy barriers,and scale effect can not be formed.Finally,based on the data of Beijing,Shenzhen and Guangdong carbon emission pilot markets,GARCH and EGARCH are used for modeling analysis.It is found that there is volatility persistence and asymmetry in the three carbon markets.The results of garch-jump model show that the persistence of jump intensity in Beijing,Shenzhen and Guangdong markets are 0.9630,0.9977 and 0.9739 respectively,that is,the probability of strong(or weak)jump in the market today and still strong(or weak)jump in the market tomorrow.The jump of carbon price in Beijing market shows current variability,while the jump in Shenzhen market is not frequent but also timevarying,while the jump in Guangdong market is obvious but not Time varying.After the model setting test,the optimal model is selected to fit the price changes of carbon emission market in Beijing,Shenzhen and Guangdong.The implied volatility of carbon price in each market is obtained as the marginal distribution.On this basis,coking coal futures price and treasury bond seven day repo rate are selected to represent energy market and traditional financial market,and copulagarch-jump model is used to analyze the correlation of carbon emission right market.It is found that there is a reverse relationship between carbon price and coking coal futures price in Beijing,which shows that emission reduction enterprises have strong energy substitution when they choose energy consumption.The carbon prices of Shenzhen and Guangdong are positively correlated with the futures prices of coking coal.The positive change of carbon price and interest rate price in Shenzhen indicates that the participation of emission reduction enterprises in Shenzhen is higher.The relationship between carbon price and interest rate in Beijing and Guangdong is reverse,which indicates that investors in these two regions have higher participation.Based on this,this paper proposes that we should improve the market mechanism to reduce the risk of policy changes;innovate carbon emission derivatives,guide professional financial institutions to join,reduce the risk of economic fluctuations;encourage enterprises to innovate emission reduction technology,enhance resistance to carbon price fluctuations;play the role of market price discovery,help enterprises to adjust the energy structure and investors to allocate resources reasonably;establish an efficient and stable environment Five suggestions are put forward,such as establishing a fair national carbon emission market and reducing regional heterogeneity.Finally,the future research direction is prospected.