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Stylized facts of the carbon emission market in China

Author

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  • Yan, Kai
  • Zhang, Wei
  • Shen, Dehua

Abstract

This paper gives the first empirical analysis on the stylized facts of the returns of five carbon emission market in China. The results mainly show that: (1) there exist heavy tails in returns and weak autocorrelation in both raw and absolute returns; (2) returns show strong volatility clustering, leverage effect, but weak long-range dependent property; (3) returns and trading volume are power-law correlated. All these findings suggest that returns of carbon emission market display the similar stylized facts found in equity market.

Suggested Citation

  • Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    • Handle: RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303691
    DOI: 10.1016/j.physa.2020.124739
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    More about this item

    Keywords

    Stylized facts; Carbon emission market; Heavy tail; Volatility clustering; Autocorrelation; Long-range dependence;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G19 - Financial Economics - - General Financial Markets - - - Other

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