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.
| Original language | English |
|---|---|
| Article number | 101758 |
| Number of pages | 13 |
| Journal | Research in International Business and Finance |
| Volume | 63 |
| DOIs | |
| Publication status | Published - 1 Dec 2022 |
Bibliographical note
Funding Information:This work was supported by the National Natural Science Foundation of China (No. 71704098 , 71971039 , 72001191 , 72003110 ), National Social Science Foundation of China (No. 20BJL058 ), the Natural Science Foundation of Shandong Province (No. ZR2020MG074 ), Key Research Project of Financial Application in Shandong Province (No. 2021-JRZZ-25 ), Statistical Research Project in Shandong Province in 2022 (No. KT069 ), General Project "Research on green finance boosting the development of clean energy industry in Shandong Province under the dual carbon goal" in Shandong Youth University of Political Science, and Key Project of Philosophy and Social Science Foundation of Jinan City (No. JNSK21B18 ).
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