Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective

Shanglei Chai, Xiaoli Yang, Zhen Zhang, Mohammad Zoynul Abedin and Brian Lucey

Research in International Business and Finance, 2022, vol. 63, issue C

Abstract: China's emission trading schemes (ETS) have caused great concern worldwide. Exploring the regional imbalance of market efficiency in China's pilot ETS is a crucial task. We use empirical mode decomposition (EMD)-based multifractal detrended fluctuation analysis (MFDFA) to analyze market efficiency of China's pilot ETS. The contributions are as follows. First, the multifractal features of China’s pilot ETS have been discovered. Second, China’s pilot ETS are subject to a high risk of price fluctuations and market risk can be arranged from highest to lowest as Shanghai, Tianjin, Shenzhen, Guangdong, Hubei, Beijing, Chongqing, and Fujian. Third, market efficiency can be arranged from highest to lowest as Chongqing, Fujian, Hubei, Guangdong, Shanghai, Shenzhen, Beijing, and Tianjin. Fourth, the sources of multifractal features of China’s pilot ETS were investigated. This paper provides new ideas for studying market efficiency of China's ETS and policy implications for risk prevention.

Keywords: Climate change; Market efficiency; China's emission trading schemes (ETS); Multifractal detrended fluctuation analysis (MFDFA) (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001441

DOI: 10.1016/j.ribaf.2022.101758

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