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Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective

Shanglei Chai, Xiaoli Yang, Zhen Zhang, Mohammad Abedin Orcid Logo, Brian Lucey

Research in International Business and Finance, Volume: 63, Start page: 101758

Swansea University Author: Mohammad Abedin Orcid Logo

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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...

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Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa64247
first_indexed 2023-09-19T13:05:01Z
last_indexed 2024-11-25T14:13:42Z
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spelling 2023-09-20T10:52:04.0320832 v2 64247 2023-08-31 Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2023-08-31 CBAE 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. Journal Article Research in International Business and Finance 63 101758 Elsevier BV 0275-5319 1878-3384 Climate change, Market efficiency, China&apos;s emission trading schemes (ETS), Multifractal detrended fluctuation analysis (MFDFA) 31 12 2022 2022-12-31 10.1016/j.ribaf.2022.101758 http://dx.doi.org/10.1016/j.ribaf.2022.101758 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University 2023-09-20T10:52:04.0320832 2023-08-31T17:48:07.8834795 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Shanglei Chai 1 Xiaoli Yang 2 Zhen Zhang 3 Mohammad Abedin 0000-0002-4688-0619 4 Brian Lucey 5
title Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
spellingShingle Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
Mohammad Abedin
title_short Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
title_full Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
title_fullStr Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
title_full_unstemmed Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
title_sort Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Shanglei Chai
Xiaoli Yang
Zhen Zhang
Mohammad Abedin
Brian Lucey
format Journal article
container_title Research in International Business and Finance
container_volume 63
container_start_page 101758
publishDate 2022
institution Swansea University
issn 0275-5319
1878-3384
doi_str_mv 10.1016/j.ribaf.2022.101758
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.ribaf.2022.101758
document_store_str 0
active_str 0
description 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.
published_date 2022-12-31T08:13:51Z
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score 11.053243

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