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Carbon price volatility: The case of China

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  • Yinpeng Zhang
  • Zhixin Liu
  • Yingying Xu

Abstract

Based on carbon spot prices selected from seven carbon pilots, we assess the financial performances related to carbon volatility in China on the overall perspective. According to the results, the Chinese carbon market fluctuated severely at the beginning of carbon trading, but has stabilised in general, despite several dramatic changes related to ‘yearly compliance events’. Long-term memory exists in the volatility series. Moreover, asymmetry exists in the Chinese carbon market, and volatility reacts more severely to good news than to bad news. Finally, we discuss our empirical results, and make certain suggestions regarding firms’ awareness, international cooperation and individual investors not only for policy makers in China but also for other developing countries who are contemplating either commencing carbon trading or improving the current market.

Suggested Citation

  • Yinpeng Zhang & Zhixin Liu & Yingying Xu, 2018. "Carbon price volatility: The case of China," PLOS ONE, Public Library of Science, vol. 13(10), pages 1-15, October.
    • Handle: RePEc:plo:pone00:0205317
    DOI: 10.1371/journal.pone.0205317
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    References listed on IDEAS

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    Cited by:

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    3. Fan, Xinghua & Lv, Xiangxiang & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Multifractality and market efficiency of carbon emission trading market: Analysis using the multifractal detrended fluctuation technique," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
    4. 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).
    5. Yunhe Cheng & Beibei Hu, 2022. "Forecasting Regional Carbon Prices in China Based on Secondary Decomposition and a Hybrid Kernel-Based Extreme Learning Machine," Energies, MDPI, vol. 15(10), pages 1-18, May.
    6. Xu, Yingying & Dai, Yifan & Guo, Lingling & Chen, Jingjing, 2024. "Leveraging machine learning to forecast carbon returns: Factors from energy markets," Applied Energy, Elsevier, vol. 357(C).
    7. Yaxue Yan & Weijuan Liang & Banban Wang & Xiaoling Zhang, 2023. "Spillover effect among independent carbon markets: evidence from China’s carbon markets," Economic Change and Restructuring, Springer, vol. 56(5), pages 3065-3093, October.
    8. Wang, Minke & Wu, Jiang & Kafa, Nadine & Klibi, Walid, 2020. "Carbon emission-compliance green location-inventory problem with demand and carbon price uncertainties," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 142(C).
    9. Hao Chen & Zhixin Liu & Yinpeng Zhang & You Wu, 2020. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase," Sustainability, MDPI, vol. 12(6), pages 1-18, March.

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