Carbon Market Evaluation Based on Random Walk Hypothesis in China

According to the proposal of Kyoto protocol, carbon dioxide emission rights are traded as a commodity, and carbon emission trading market emerges as the times require. As the world’s largest carbon emitter, China has established eight pilot markets for carbon emission trading. Selecting the closing price of eight carbon trading markets from the establishment to June 23, 2020, this paper analyzes the daily, weekly, and monthly return series data, using the first-order autoregressive process to adjust the daily income series to eliminate the weak trading market effect and then comprehensively uses the traditional variance ratio test and multiple variance ratio test to analyze the weak-form market efficiency of the eight carbon trading markets. The empirical results show that most of the carbon trading markets are non-weak-form market efficiency, and only Tianjin, Shanghai, and Hubei markets are weak-form market efficiency under the daily trading data. However, with the increase of carbon holding period, the weak-form market efficiency continues to strengthen. It shows that liquidity, quantity, and information transparency are important factors that affect the market efficiency.