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Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model

Author

Listed:
  • Jilin Zhang

    (Data Analysis & Research Center, Fujian University of Technology, Fuzhou 350118, China)

  • Yukun Xu

    (Research Center of Internet Finance and Blockchain, Fujian University of Technology, Fuzhou 350118, China)

Abstract

This paper examines the price of carbon emission rights published by the China Emissions Exchange (Shenzhen), analyzes the statistical characteristics of the price series and uses a generalized autoregressive conditional heteroskedasticity (GARCH) model to describe the price fluctuation of carbon emission rights and risk formation mechanisms. The study shows the following results: since 2013, China’s carbon emission rights prices have become more stable. The fluctuation of yield has gradually decreased and the market has approached a more mature stage. However, after 2018, due to factors such as the economic downturn and insufficient market information, the amplitude of price fluctuations has started to rise while frequency is increasing, which shows an asymmetry trend. The market trading risk is accumulating constantly.

Suggested Citation

  • Jilin Zhang & Yukun Xu, 2020. "Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model," Sustainability, MDPI, vol. 12(10), pages 1-11, May.
    • Handle: RePEc:gam:jsusta:v:12:y:2020:i:10:p:4249-:d:361542
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    Cited by:

    1. Shaolong Zeng & Qinyi Fu & Danni Yang & Yihua Tian & Yang Yu, 2023. "The Influencing Factors of the Carbon Trading Price: A Case of China against a “Double Carbon” Background," Sustainability, MDPI, vol. 15(3), pages 1-24, January.
    2. Yuan Yuan & Feng Cai & Lingling Yang, 2020. "Renewable Energy Investment under Carbon Emission Regulations," Sustainability, MDPI, vol. 12(17), pages 1-15, August.
    3. Jiayue Xu, 2022. "A hybrid deep learning approach for purchasing strategy of carbon emission rights -- Based on Shanghai pilot market," Papers 2201.13235, arXiv.org.
    4. Lei Su & Wenjiao Yu & Zhongxuan Zhou, 2023. "Global Trends of Carbon Finance: A Bibliometric Analysis," Sustainability, MDPI, vol. 15(8), pages 1-21, April.

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