Stylized facts of the carbon emission market in China

Kai Yan, Wei Zhang and Dehua Shen

Physica A: Statistical Mechanics and its Applications, 2020, vol. 555, issue C

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.

Keywords: Stylized facts; Carbon emission market; Heavy tail; Volatility clustering; Autocorrelation; Long-range dependence (search for similar items in EconPapers)
JEL-codes: C13 G19 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303691

DOI: 10.1016/j.physa.2020.124739

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