Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots

Xuedi Li, Jie Ma, Zhu Chen and Haitao Zheng
Additional contact information
Xuedi Li: School of Economics & Management, Beihang University, Beijing 100083, China
Jie Ma: School of Economics & Management, Beihang University, Beijing 100083, China
Zhu Chen: School of Economics & Management, Beihang University, Beijing 100083, China

Sustainability, 2018, vol. 10, issue 10, 1-13

Abstract: This paper focuses on the time-varying correlation among China’s seven emissions trading scheme markets. Correlation analysis shows a weak connection among these markets for the whole sample period, which spans from 9 June 2014 to 30 June 2017. The return rate series of the seven markets show the characteristics of a fat-tailed and skewed distribution, and the Vector Autoregression (VAR) residuals present a significant Autoregressive Conditional Heteroscedasticity (ARCH) effect. Therefore, we adopt Vector Autoregression Generalized ARCH model with Dynamic Conditional Correlation (VAR-DCC-GARCH) to capture the time-varying correlation coefficients. The results of the VAR-DCC-GARCH show that the conditional correlation coefficients fluctuate fiercely over time. At some points, the different markets present a significant correlation with the value of the even peaks of the coefficient at 0.8, which indicates that these markets are closely connected. However, the connection between each market does not last long. According to the actual situation of China’s regional carbon emission markets, policy factors may explain most of the temporary, significant co-movement among markets.

Keywords: China’s emission trading scheme pilots; linkage analysis; VAR-DCC-GARCH (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.mdpi.com/2071-1050/10/10/3389/pdf (application/pdf)
https://www.mdpi.com/2071-1050/10/10/3389/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:10:y:2018:i:10:p:3389-:d:171598

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().