[Retracted] High-Order Moment Contagion of the Carbon Market: A Heterogeneity Analysis of Market Volatility Trend
Table 6
Risk contagion in high-order moment channels from carbon market to its infected markets under the slow volatility trend.
Carbon homogeneous market
Capital market
Energy market
EUAs
DJIA
EURUSD
USDX
Coal
Oil
Gas
Electricity
Panel A: slowly decline in volatility of EUAf (S3–S1)
FR
0.59
0.02
0.03
0.41
0.01
0.02
0.04
0.09
CS12
7.24
32.29
1.01
0.03
11.13
0.48
128.44
5.15
CS21
3.71
3.46
0.35
0.03
0.67
0.002
0.73
0.12
CK13
14.27
3.45
11.34
11.9
17.26
70.1
1.39
0.02
CK31
17.31
9.07
11.62
14.54
2.54
15.17
8.39
4.61
Panel B: slowly rise in volatility of EUAf (S1–S3)
FR
10.72
0.09
0.61
0.61
0.33
0.47
0.27
0.15
CS12
10.25
45.16
1.12
0.03
11.96
0.49
135.63
5.52
CS21
5.24
4.26
0.39
0.03
0.73
0.004
0.77
2.11
CK13
30.88
2.21
11.21
11.76
43.59
72.5
1.64
0.91
CK31
36.36
5.43
10.05
0.63
0.36
2.99
8.91
2.001
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.
