Journal article 287 views
Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
Shanglei Chai,
Xiaoli Yang,
Zhen Zhang,
Abedin Abedin,
Brian Lucey
Research in International Business and Finance, Volume: 63, Start page: 101758
Swansea University Author: Abedin Abedin
Full text not available from this repository: check for access using links below.
DOI (Published version): 10.1016/j.ribaf.2022.101758
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 ef...
| Published in: | Research in International Business and Finance |
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| ISSN: | 0275-5319 1878-3384 |
| Published: |
Elsevier BV
2022
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa64247 |
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| 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. |
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| Keywords: |
Climate change, Market efficiency, China's emission trading schemes (ETS), Multifractal detrended fluctuation analysis (MFDFA) |
| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
101758 |