Spillover Effects and Market Efficiency of Global Emission Trading System Based on Structural Breakpoints

The construction of an emission trading system (ETS) is considered the most effective and sustainable way to address climate change issues. Due to the financial nature of the carbon market, there is a certain impact among the prices of ETSs. This paper studies the spillover effects among the global ETSs based on the VAR-BEKK-GARCH model, and further estimates the market efficiency of ETSs by considering the structural breakpoints (SBs). The results indicate that the EU ETS is the main information transmission and risk spillover agent, while NZ ETS is the main recipient of external price and risk factors. The market efficiency measurement results based on the Hurst index calculated by the MR/S model can also reflect the rationality of the spillover effect results. In addition, the market efficiency of each ETS in each stage is further measured by introducing the SBs, which can help avoid false market efficiency