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Information efficiency research of China's carbon markets

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  • Liu, Jian
  • Jiang, Ting
  • Ye, Ze

Abstract

This paper studies the information efficiency of China's carbon markets using the fuzzy entropy method. The overall and time-varying results show that Hubei market has the highest information efficiency, followed by Guangdong, Beijing, Shanghai, Shenzhen, Chongqing and Tianjin market in turn. Moreover, the information efficiency of EU carbon market is higher than that of China's carbon markets. Further, the information efficiency of Chongqing and Hubei, Shenzhen and Tianjin, Beijing and Hubei, Beijing and Shanghai, Hubei and Shenzhen carbon markets is highly correlated.

Suggested Citation

  • Liu, Jian & Jiang, Ting & Ye, Ze, 2021. "Information efficiency research of China's carbon markets," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310736
    DOI: 10.1016/j.frl.2020.101444
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    References listed on IDEAS

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    Cited by:

    1. Zhao, Yi & Dai, Xingyu & Zhang, Dongna & Wang, Qunwei & Cao, Yaru, 2023. "Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis," Finance Research Letters, Elsevier, vol. 51(C).
    2. Tang, Chun & Yang, Guangyi & Liu, Xiaoxing, 2024. "Risk spillover within the carbon-energy system – New evidence considering China's national carbon market," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1227-1240.
    3. Tang, Chun & Liu, Xiaoxing & Chen, Guangkun, 2023. "The spillover effects in the “Energy – Carbon – Stock” system – Evidence from China," Energy, Elsevier, vol. 278(PA).
    4. Wu, Yizhong & Liu, Xiaoxing & Tang, Chun, 2024. "Carbon Market and corporate financing behavior-From the perspective of constraints and demand," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 873-889.

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    More about this item

    Keywords

    Carbon market; Fuzzy entropy; Information efficiency; Entropic correlation;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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