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A study of price volatility in two phases of the Shanghai carbon market

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DOI: 10.23977/edms2021.017


Jiacheng Qi

Corresponding Author

Jiacheng Qi


With the development of industrial activities, the emission of greenhouse gases is getting more and more attention. Since the official launch of carbon emissions trading in China in 2013, there have been seven pilot provinces and cities, including Shenzhen, Guangzhou, Beijing and Shanghai. This paper selects Shanghai as a pilot city and conducts a two-stage empirical study on the volatility of the daily carbon price return series from its first trading date of 2013.12.19 to the present. The empirical regressions in this paper are conducted using MATLAB tools to establish a two-stage fitted model through model identification and fixed order, and Monte Carlo simulations are performed to explore and compare the two-stage volatility. Because of the lack of pricing mechanism, China is in a passive situation in the international carbon market. As the largest emitter of carbon dioxide, we need to sort out the factors influencing the fluctuation of carbon price, predict the carbon price, and reasonably realize the pricing of carbon assets. In this paper, we study and analyze the fluctuation of carbon price, in order to make a modest contribution to China's carbon market to the world, to make the price of China's carbon market converge with the international carbon market, and to take the carbon trading road with Chinese characteristics in a comprehensive view.


Carbon market, price volatility, Monte Carlo simulation

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