Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies.

Based on monthly economic data spanning from January 2015 to December 2022, we have established an analytical framework to examine the "Russia-Ukraine conflict-financial market pressure and energy market-China carbon emission trading prices." To achieve this objective, we developed indices for financial system pressure, the energy market, and investor sentiment, applying a mediation effects model to validate their transmission mechanisms. Subsequently, the TVP-SV-VAR model was employed to scrutinize the nonlinear impact of the Russia-Ukraine conflict on the valuation of China's carbon emission trading rights. This model integrates time-varying parameters (TVP) and stochastic volatility (SV), utilizing Markov Chain Monte Carlo (MCMC) technology for parameter estimation. Finally, various wavelet analysis techniques, including continuous wavelet transform, cross-wavelet transform, and wavelet coherence spectrum, were applied to decompose time series data into distinct time-frequency scales, facilitating an analysis of the lead-lag relationships within each time series. The research outcomes provide crucial insights for safeguarding the interests of trading organizations, refining the structure of the carbon market, and mitigating systemic risks on a global scale.

Pricing of Shanghai stock exchange 50 ETF options based on different volatility models.

On March 15, 2022, the volume of trade of the Shanghai Stock Exchange (SSE) 50 ETF option contracts and the CSI 300 ETF option contracts exceeded 10 million for the first time, of which 5,707,400 50 ETF options were traded, and SSE 50 ETF options, as the main force, has become one of the most active ETF option varieties in the world after seven years of vigorous development. The SSE 50 ETF options receive highlights in risk-free arbitrage, hedging, risk management and other aspects. In order to give full play to the function of the SSE 50 ETF options, it is necessary to conduct studies on their pricing. This paper adopts the traditional classical models for pricing European-style options, the BSM model and the volatility model, to price call options and put options of the SSE ETF, and meanwhile analyzes the volatility of the SSE 50 ETF. The empirical results suggest that (1) the volatility of SSE 50 ETF has a weak leverage effect or no leverage effect, which converges with the existence of the inverse leverage effect of the SSE index; (2) the BSM model will underestimate the price of SSE 50 ETF options and is only ideal for pricing in-the-money (ITM) options; while out-of-the-money (OTM) options are highly influenced by time value and therefore cannot be accurately priced.