LCE  Vol.8 No.3 , September 2017
External Shocks and the Law of Carbon Price Fluctuation—Based on the Framework of CWT and EEMD
Abstract: This paper focused on researching the fluctuation of carbon trading price caused by the external shocks through analyzing the data of three-phase carbon spot price from Blue Next Environmental Exchange and the European Climate Exchange (ECX). The results are the following: 1) released important information and events will seriously affect the carbon price fluctuations; some important information are released that cause sharp fluctuations in a short period of time; the Sudden events lead to long-term, drastic fluctuations in carbon price and its influence over the impact of important information; 2) the impact of external events is always corresponding to the low-frequency component of time sequence; this is because the low-frequency component usually reflects the data signal amplitude which is severer, and the high-frequency component represents the data signal amplitude which is a smaller part; it has random fluctuations of the time sequence.
Cite this paper: Zhou, Y. , Yang, X. and Shu, J. (2017) External Shocks and the Law of Carbon Price Fluctuation—Based on the Framework of CWT and EEMD. Low Carbon Economy, 8, 81-95. doi: 10.4236/lce.2017.83007.

[1]   Kanen, J.L.M. (2006) Carbon Trading and Pricing. Environmental Finance Publications, 1-57.

[2]   Bunn, D.W. and Fezzi, C. (2007) Interaction of European Carbon Trading and Energy Prices. FEEM Working Paper No. 63.

[3]   Chevallier, J. (2009) Carbon Futures and Macroeconomic Risk Factors: A View from the EU ETS. Energy Economics, 31, 614-625.

[4]   Oberndorfer, U. (2009) EU Emission Allowances and Stock Market: Evidence from the Electricity Industry. Ecological Economics, 68, 1116-1126.

[5]   Mansanet-Bataller, M., Pardo, A. and Valor, E. (2007) CO2 Prices, Energy and Weather. The Energy Journal, 28, 67-86.

[6]   Alberola, E., Chevallier, J. and Cheze, B. (2008) Price Drivers and Structural Breaks in European Carbon Prices. Energy Policy, 36, 787-797.

[7]   Chevallier, J. (2011) Detecting Instability in the Volatility of Carbon Price. Energy Economics, 33, 99-110.

[8]   Chen, X.H. and Wang, Z.Y. (2010) Empirical Research on Price Mechanism of European Carbon Emissions Trading. Science & Technology Progress and Policy, 27, 142-147.

[9]   Zou, Y.S. and Wei, W. (2013) The Study on Impact Factors of Certified Carbon Emissions (CERs) Sport Markets. Journal of Financial Research, No. 10, 142-153.

[10]   Zheng, C.M. and Liu, H.M. (2014) The Research of EU Carbon Emissions Factors Affecting Price Fluctuation—Based on MS-VAR Model. Journal of Shangdong Institute of Business and Technology, 28, 73-105.

[11]   Ding, Y. (2015) Based on GEN Method of Domestic Research on the Influence Factors of the Carbon Price—Carbon Emissions Exchange Price in Shenzhen as an Example. Times Finance, No. 4, 291-292.

[12]   Zheng, Y.H. and Li, B.J. (2016) China’s Carbon Emissions Quota Market Price Influence Factors Analysis. Co-Operative Economy & Science, No. 5, 132-134.

[13]   Xu, J. and Tan, X.J. (2016) Carbon Prices’ Space-Time Heterogeneity. Environmental Economic Research, No. 2, 107-122.

[14]   Christian, C., Daniel, R. and Waldemar, R. (2012) Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency. Energy Economics, 34, 316-326.

[15]   Steffen, H., Marliese, U. and Karl-Martin, E. (2015) Emission Permits and the Announcement of Realized Emissions: Price Impact, Trading Volume, and Volatilities. Energy Economics, 51, 560-569.

[16]   Guo, F. and Pan, X. (2011) Carbon Market: Price Volatility and Risk Measurement Based on Empirical Analysis of the Price of EU ETS Futures Contracts. Finance & Trade Economics, No. 7, 110-118.

[17]   Ying, F., Jia, J., Wang, X. and Xu, J.H. (2017) What Policy Adjustments in the EU ETS Truly Affected the Carbon Prices? Energy Policy, No. 103, 145-164.

[18]   Pan, H. and Shi, Z. (2012) Oil Markets’ Short Run Reactions to Significant Demand Shocks—An Event Study Perspective. Shanghai Journal of Economics, No. 12, 32-43.

[19]   Guo, H., Xu, Z. and Tong, J. (2016) The Characteristic of Japan’s Quantitative Easing and Short-Term Effect on the Stock Market Research—Based on Event Analysis. Studies of International Finance, No. 5, 38-47.

[20]   Wu, Z.H. and Huang, N.E. (2009) Ensenbol Enpirical Mode Decomposition: Anoise-Assisted Data Analysis Method. Advances in Adaptive Data Analysis, No. 1, 1-41.