China Policy Journal Volume 1, Number 1, Fall 2018 | Page 39

China Policy Journal
two sources are identical. This study collected
the daily market data of the seven
ETS pilots from their launching dates
to 30 June 2017, considering that in the
second half of year 2017, all ETS pilots
were making adaptions since the country
was going to establish the national
ETS by the end of the year. The currency
unit of all price data is changed from
RMB to US dollar ($), using the currency
conversion rates provided by OECD.
In most local ETSs, the daily CEA
data, either price or trading volume, are
missing for many days, which impede
the ability to do the analysis at the daily
frequency. Similar to Fan and Todorova
(2017), we used the weekly price data
(Price t
, $/ton CO 2
e) for analysis. For
instance, given any week T, if the daily
CEA price data is available for n days
(n≤7) of the week, the weekly price data
will be calculated by averaging the daily
price data:
Also,
we generated the weekly trading volume
data (Volume t
, 1000 ton CO 2
e/week) by
totaling the daily trading volume in
the week. Given any week T, if the daily
trading volume data is available for
n days (n≤7) of the week, the weekly
trading volume data will be calculated
by
Thus, in week
T, we can think it as the Volume T
amount
of CEA was traded in the week at the
Price T
. Further, a time-series variable of
price return is generated for each price
variable for analysis using the equation
ln(Price t
/Price t−1
).
On energy markets, we collected
data on the oil price, coal price, and
natural gas price, in order to address
the relations between energy prices and
CEA prices. Coal consumption is one
of the major sources of CO 2
emission in
China, and the consumption of crude
oil or natural gas is much less. We expect
that the demand for CEA will increase
due to substitution effect if the
price of less carbon-intensive fuel (e.g.
oil) increases, or if the price of more
carbon-intensive fuel (e.g. coal) decreases.
Given there is no coal price index
for each pilot region, the coal price
we use is the Bohai Rim 5500 kcal/kg
stream coal spot price (Coal t
, RMB/ton,
weekly), which was also used by Fan
and Todorova (2017). It is a most important
benchmark domestic coal price
index in China. It is based on the average
price of 5500 kcal coal at Qinhuangdao,
Tianjin, Caofeidian, Jingtang,
Huanghua and Guotoujingtan ports.
The data is published by Qinhuangdao
Maritime Coal Market Co., Ltd and
can be collected from the website www.
coalchina.org.cn. We collected natural
gas price data from CEIC database,
which is monthly average spot price
data (RMB/ton) of Liquefied Natural
Gas (LNG) released by China Petroleum
and Chemical Industry Federation. We
converted the monthly data to a weekly
price variable of LNG (LNG t
, RMB/
ton, weekly) by assuming that different
weeks during the same month have the
same price. The oil price (Brent t
, $/barrel,
weekly) is the weekly Europe spot
price of Brent crude oil and petroleum
products, collected by the website of US
Energy Information Administration.
Chinese oil import dependence is larger
than 60%, so we use the Brent crude
oil price to reflect the influence of the
international price shocks. Coal t
and
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