The relationship between carbon market attention and the EU CET market: Evidence from different market conditions

• This paper constructs a carbon market attention index to measure investors' attention to the EU CET market. • Explores the heterogeneity of carbon market attention effect on the EUA returns under different market conditions. • Test whether there is a lag effect between carbon market attention and the EUA returns. • There is a reversal effect between carbon market attention and the EUA returns. Mainly occurs during bullish market conditions. This paper investigates the relationship between carbon market attention (CMA) and the European Union's carbon emission allowance (EUA) returns under different market conditions. Further, explore whether there is a lag effect between CMA and the EUA returns. The result shows that CMA has a negative effect on the EUA returns. Meanwhile, the influence strength shows a gradually increasing trend, mainly under bullish market conditions. Moreover, we find a lag effect of reversal relationship between CMA and the EUA returns. This effect occurs mainly under bullish market conditions and shows a trend of first increasing and then decreasing.