On the Weekday Effect of the Carbon Emission Rights Market Based on the Trend Moderation Effect
This article focuses on the Hubei carbon emission rights market,constructs an T-AR(1)-GARCH(1,1)model with trend moderation,and explores the forms and impact relationships of the weekday effects.The results show that the Hubei carbon market exhibits positive and negative Monday effects under high and low volatility conditions,respectively.That is,under the higher and lower mar-ket fluctuations,Monday's returns will lead to a 12.8%increase and a 2.3%decrease in carbon mar-ket returns,respectively.Especially,the Monday effect has been proven to be negatively affected by long-term lagged terms,and positive impacted by European carbon price.Research has convinced that the prices of Hubei carbon market do not follow random walks,but exhibit significant wandering weekday effects.The results provide reference for evaluating the carbon market efficiency and making investment decisions.
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