Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

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Research on Risk Measurement of Carbon Markets Between China and EU

Authors
Zhanglin Li1, Nailin Gong2, *, Jing Zhang2, *, Jin Li1, Shiru Lan1, Jiao Tian3
1Hunan Sany Polytechnic College, Changsha, China
2School of Science of Chongqing University of Technology, Chongqing, China
3Southwest University of Political Science and Law, Chongqing, China
*Corresponding author. Email: 283743201@qq.com
*Corresponding author. Email: 150096106@qq.com
Corresponding Authors
Nailin Gong, Jing Zhang
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_51How to use a DOI?
Keywords
Carbon market; GARCH; Copula; CoVaR; Risk spillover effect
Abstract

This paper measures the risk of the carbon trading market, and studies the risk spillover effect between markets, which provides a theoretical reference for the policymaking of the carbon market. This paper mainly studies the risk spillover effect between Risk spillover effects between China’s carbon trading markets in Shanghai, Beijing, Hubei, Guangdong, Shenzhen and the EU. The ARMA-GARCH (1,1) model is specifically constructed to simulate the carbon prices of the above six carbon markets under the t distribution. In particular, Vine Copula is used to obtain the dependency structure diagram between the six carbon trading markets, and CoVaR and % CoVaR are used to quantify the intensity of risk spillovers. This method is used to study the income fluctuation and risk spillover effect of the carbon trading market. The results show that there is a one-way asymmetric risk spillover effect between the EU and China’s domestic carbon trading markets in Shanghai, Beijing and Hubei. China’s unified carbon trading market was established in Hubei, and the EU carbon trading market is the most mature carbon market in the world, among which the EU has the strongest spillover effect on Hubei carbon market.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
10.2991/978-94-6463-198-2_51
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_51How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Zhanglin Li
AU  - Nailin Gong
AU  - Jing Zhang
AU  - Jin Li
AU  - Shiru Lan
AU  - Jiao Tian
PY  - 2023
DA  - 2023/08/10
TI  - Research on Risk Measurement of Carbon Markets Between China and EU
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 493
EP  - 502
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_51
DO  - 10.2991/978-94-6463-198-2_51
ID  - Li2023
ER  -