[Retracted] High-Order Moment Contagion of the Carbon Market: A Heterogeneity Analysis of Market Volatility Trend
Table 8
Robustness test of risk contagion in high-order moment channels under the trend of volatility rise slowly and decline slowly, respectively.
Carbon homogeneous market
Capital market
Energy market
EUAs
DJIA
STOXX
EURUSD
USDX
Coal
Oil
Gas
Electricity
Panel A: slowly decline in volatility of EUAf (S3–S1)
FR
0.03
0.04
0.05
0.01
0.08
0.01
0.008
0.01
0.006
CS12
3.59
1.66
0.09
3.55
7.56
5.26
19.3
79.35
2.17
CS21
0.52
0.26
0.56
0.86
0.57
0.39
0.46
0.64
0.35
CK13
230.6
3.53
1.86
0.11
1.93
24.91
8.13
650.72
168.43
CK31
12.9
5.11
0.67
9.26
6.52
0.21
2.64
0.53
0.87
Panel B: slowly rise in volatility of EUAf (S1–S3)
FR
4.61
0.04
0.006
0.31
0.35
0.01
0.01
0.03
0.01
CS12
5.08
1.66
0.09
3.55
7.69
5.45
19.4
79.73
2.23
CS21
0.73
0.25
1.87
0.85
0.59
0.41
0.39
0.67
0.34
CK13
335.4
4.82
3.95
4.99
16.59
27.97
12.8
725.11
182.19
CK31
14.7
7.58
0.72
0.41
0.004
0.23
2.69
0.36
2.06
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.
