Information efficiency research of China's carbon markets

Jian Liu, Ting Jiang and Ze Ye

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper studies the information efficiency of China's carbon markets using the fuzzy entropy method. The overall and time-varying results show that Hubei market has the highest information efficiency, followed by Guangdong, Beijing, Shanghai, Shenzhen, Chongqing and Tianjin market in turn. Moreover, the information efficiency of EU carbon market is higher than that of China's carbon markets. Further, the information efficiency of Chongqing and Hubei, Shenzhen and Tianjin, Beijing and Hubei, Beijing and Shanghai, Hubei and Shenzhen carbon markets is highly correlated.

Keywords: Carbon market; Fuzzy entropy; Information efficiency; Entropic correlation (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310736

DOI: 10.1016/j.frl.2020.101444

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