The cross-correlation between carbon spot and futures markets reflects the risk conduction mechanism between the two markets. Deeply depicting and analyzing this risk conduction mechanism is of great significance for investors to carry out risk management strategies. Considering the nonlinear and asymmetric characteristics of cross-correlation between carbon spot and futures markets, this paper applies multifractal cross-correlation analysis method to investigate the cross-correlation between carbon spot and futures markets. Firstly, through Empirical Mode Decomposition (EMD)-Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) detection, it is found that there is an obvious cross-correlation between carbon spot and futures markets, and the cross-correlation has multifractal characteristic. Secondly, by using EMD-time delay-DCCA method, we find the conduction direction between carbon spot and futures markets is bidirectional, and the futures market has a greater impact on the spot market in the short term. Thirdly, through using EMD-MF-ADCCA method, we find the cross-correlation between the two markets is asymmetric, and the cross-correlation between the two markets is more significant when carbon market is in a downward trend than in an upward trend. Fourthly, through constructing EMD-time delay-ADCCA model, we find that there is a two-way asymmetric conduction effect between carbon spot and futures markets when the lag period is short, and when the carbon market is in a downward trend, the conduction effect between the two markets is stronger. However, with the extension of time lag, the conduction effect of the two markets no longer presents obvious asymmetric characteristics.

中文翻译：

---

考虑非对称传导效应的碳现货与期货市场的多重互相关分析

碳现货和期货市场的互相关性反映了两个市场之间的风险传导机制。深入刻画和分析这种风险传导机制，对于投资者实施风险管理策略具有重要意义。考虑到碳现货与期货市场互相关的非线性和不对称特性，本文采用多重分形互相关分析方法研究碳现货与期货市场的互相关。首先，通过经验模态分解（EMD）-多重分形去趋势互相关分析（MF-DCCA）检测，发现碳现货和期货市场之间存在明显的互相关，且互相关具有多重分形特征。其次，通过使用 EMD-time delay-DCCA 方法，我们发现碳现货和期货市场的传导方向是双向的，期货市场在短期内对现货市场的影响更大。第三，通过EMD-MF-ADCCA方法，我们发现两个市场之间的互相关是不对称的，当碳市场处于下降趋势时，两个市场之间的互相关比处于上升趋势时更为显着。第四，通过构建EMD-时间延迟-ADCCA模型，发现当滞后期较短时，碳现货市场与期货市场之间存在双向不对称传导效应，而当碳市场处于下行趋势时，传导两个市场之间的影响更强。但随着时滞的延长，两个市场的传导效应不再呈现明显的不对称特征。