Abstract
In July 2021, China began its national emissions trading scheme, marking a new stage of development for the country's carbon market. This study analyzes the multidimensional correlation between carbon prices in the Guangdong pilot market and eight influencing factors from three perspectives (the international carbon market, energy prices, and China's economic situation), using the ARMA-GARCH-vine copula model. The CoVaR between the carbon price and each factor is then calculated using copula-CoVaR. The results show that the crude oil market plays the primary role in the vine structure, and that the carbon market is not strongly correlated with other markets. China's carbon market is still a regional market driven by government policy, and the international carbon and energy markets (especially the crude oil market) have upward risk spillover effects upon it. This indicates an asymmetric risk spillover between influencing factors and the carbon market. The findings of this study will help market participants prepare risk management strategies and make related investment decisions, and provide a reference for policy makers to formulate national emission trading scheme policies.