[Retracted] High-Order Moment Contagion of the Carbon Market: A Heterogeneity Analysis of Market Volatility Trend
Table 5
Risk contagion in high-order moment channels from carbon market to its infected markets under the rapid volatility trend.
Carbon homogeneous market
Capital market
Energy market
EUAs
DJIA
EURUSD
USDX
Coal
Oil
Gas
Electricity
Panel A: rapid decline in volatility of EUAf (S2-S1)
FR
2.85
0.01
3.11
2.25
0.92
1.11
0.08
0.08
CS12
22.35
19.88
1.21
3.56
6.1
11.87
24.78
0.62
CS21
7.21
0.03
1.92
2.08
0.25
0.44
0.01
0.47
CK13
163.34
10.95
39.12
41.04
198.6
289.9
123.29
42.88
CK31
87.59
19.22
21.81
18.1
36.9
85.18
40.68
44.45
Panel B: rapid rise in volatility of EUAf (S1–S2)
FR
15.5
0.09
0.62
0.59
0.34
1.51
0.27
0.16
CS12
37.5
21.87
1.48
4.33
7.05
14.53
30.23
0.69
CS21
12.09
0.04
2.34
2.53
0.06
0.53
0.01
0.53
CK13
387.49
11.67
4.86
3.61
0.29
293.5
294.11
45.49
CK31
222.49
19.53
26.24
19.2
0.44
114.3
49.03
46.31
Note. S1, S2, and S3 denotes the stability, high volatility and low volatility state of the carbon market, respectively. The symbols ,, and denote the statistical significance at the 10%, 5%, and 1%, respectively.
