 What drive carbon price dynamics in China?Fenghua Wen, Haocen Zhao, Lili Zhao and Hua Yin International Review of Financial Analysis, 2022, vol. 79, issue C Abstract: This paper examines the driving factors of China carbon price in a systemic way with quantitative analysis. Specifically, three categories of driving forces as macro economy risk and uncertainty, energy and environment factors are selected to investigate their impacts on carbon price in China, by adopting the dynamic connectedness measurement approach. The empirical results confirm each driving factor has made contributions to the carbon price fluctuations, and the dynamic interactions among them have enhanced connectedness of the whole system. However, the directional dynamic spillovers indicate main driving factors to carbon price are heterogeneous varying over the whole sample and in different carbon markets. Most importantly, market sentiment plays main role in the carbon price dynamics of Guangdong market, whereas the electric power index makes great effects to Hubei carbon price changes, and the carbon price fluctuations in Shenzhen market are largely caused by air quality situation. Keywords: Driving factor; Dynamic connectedness measurement; China carbon price (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003148 DOI: 10.1016/j.irfa.2021.101999 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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