... Such uncertainties could restrain the efficiency of the emissions abatement process, hamper the market's sustainable development, and lead to systemic financial shocks (Zhu et al., 2020). A growing strand of literature indicates that carbon market uncertainties originate from two sources, one being its own-market volatility (Charles, Darné, & Fouilloux, 2013;Chevallier, 2010;Kamdem, Nsouadi, & Terraza, 2016;Tang, Gong, & Shen, 2017) and the other being cross-market volatility with markets such as the energy market (Boubaker & Raza, 2017;Tan, Sirichand, Vivian, & Wang, 2020;Uddin, Hernandez, Shahzad, & Hedström, 2018;Wu, Wang, & Tian, 2020), the capital market (Ma, Wang, & Zhang, 2020;Yuan & Yang, 2020), the electricity market (Balcilar, Demirer, Hammoudeh, & Nguyen, 2016;Green, Larsson, Lunina, & Nilsson, 2018;Ji, Xia, Liu, & Xu, 2019), and others, as indicated by macroeconomic variables (Conrad, Rittler, & Rotfuß, 2012;Liu & Chen, 2013). In recent years, biofuel has been incorporated into the energy market as an alternative to fossil fuels to meet the "20-20-20 climate change and energy sustainability" target of the European Union (EU): a 20% reduction in the emissions of greenhouse gases compared to 1990, a 20% improvement in energy efficiency, and 20% of energy production from the renewable energy sources (European Environment Agency, 2017). ...