TITLE:
Research on the Structural Mutation of Carbon Emission Allowance Trading Price of China
AUTHORS:
Ruitong Xia
KEYWORDS:
Carbon Finance, Carbon Emission Allowance Trading, Price Mutation, Bai-Perron Structural Mutation Points Test
JOURNAL NAME:
Open Journal of Business and Management,
Vol.9 No.5,
September
24,
2021
ABSTRACT: This paper conducts theoretical and empirical research on the structural
mutation of China’s carbon emission allowance trading price. Firstly, it
analyzes the possibility of price mutation from the perspective of market
mechanism through theoretical analysis. Secondly, the Bai-Perron Multiple
Breakpoint Test method is used to test the autoregressive model of the carbon
valence sequence. It is found that the carbon emission price series of each
pilot have multiple structural mutations, and the breakpoints often occur
around the annual compliance date. It is believed that the compliance
requirement is the direct internal factor that causes the sudden change in the
carbon emission price structure. Combined with the observation of market
transaction characteristics and the direction of price sudden changes, the
analysis of the deeper internal causes of price sudden changes in the market
lies in the poor ability of enterprises to actively manage quotas, low market
transaction activity, and excessive total supply of quotas. Based on the
problems and reasons reflected by the empirical test results, this paper
finally puts forward three rationalization suggestions for the improvement of
the carbon emission allowance trading market.