[Retracted] High-Order Moment Contagion of the Carbon Market: A Heterogeneity Analysis of Market Volatility Trend
Table 7
Robustness test of risk contagion in high-order moment channels under the trend of volatility rise rapidly and decline rapidly, respectively.
Carbon homogeneous market
Capital market
Energy market
EUAs
DJIA
STOXX
EURUSD
USDX
Coal
Oil
Gas
Electricity
Panel A: rapid decline in volatility of EUAf (S2-S1)
FR
1.57
0.05
0.05
1.92
0.23
0.016
0.12
0.22
0.03
CS12
12.66
0.72
0.04
0.69
7.02
1.18
0.72
19.17
0.25
CS21
6.81
0.98
1.25
0.001
1.11
0.37
0.13
0.08
0.51
CK13
254.41
13.13
0.02
16.71
8.49
62.2
0.02
15.34
2.84
CK31
83.59
16.32
4.57
5.47
2.51
0.62
8.8
2.81
0.62
Panel B: rapid rise in volatility of EUAf (S1-S2)
FR
5.65
0.01
0.03
0.32
0.36
0.02
0.05
0.03
0.01
CS12
20.28
0.75
0.04
0.79
7.96
1.19
0.76
21.93
0.26
CS21
10.89
0.99
1.25
0.02
1.25
0.37
0.13
0.12
0.52
CK13
453.45
4.84
0.59
5.92
13.41
75.91
6.96
74.13
0.06
CK31
143.43
6.68
8.96
19.05
26.2
1.33
13.2
5.95
1.34
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.
