Research on Spillover Effect of Carbon Market and Electricity Market under the Goals of Carbon Peaking and Carbon Neutrality

The goals of carbon peaking and carbon neutrality propose to promote the collaborative construction of both carbon market and electricity market. In order to investigate the linkage relationship between the carbon market and the electricity market, smooth the price transmission signals and strengthen the effective connection between the two markets, the spillover effect of the carbon market and the electricity market was studied. Firstly, the interaction mechanism of carbon market and electricity market was analyzed. Secondly, based on the VAR-BEKK-GARCH model, a quantitative method, comprehensively considering the transmission of price information and volatility risk, was proposed to evaluate the spillover effect between the carbon market and the electricity market from two dimensions: return spillover and volatility spillover. Finally, taking carbon price and electricity price data of Guangdong Province as research case, the spillover effect of carbon market and electricity market was analyzed empirically.The results indicate that there is no return spillover effect between the carbon market and the electricity market. However, there exists a bidirectional volatility spillover effect between the two markets. This implies that the linkage between the carbon market and the electricity market mainly stems from the price fluctuation and risk transmission.