Abstract: To monitor symptoms of China's carbon market risk, the paper constructs the daily China Carbon Market Stress Index (CCMSI) based on the trading data of five regional carbon markets including Shenzhen, Hubei, Guangdong, Beijing and Shanghai, considering the vertical stress of each carbon market and horizontal correlations between them. Based on the CCMSI and China’s manufacturing PMI, the paper further analyzes the threshold and regimes of the CCMSI using a TVAR model. Results show that from April 2015 to July 2019, the high-stress regime of China's carbon market mainly occurs around the compliance period in 2015—2016 and the recession period of manufacturing industry in 2016. Carbon markets remains in low-stress regime since 2017, indicating that the operation of China's carbon market tends to be stable. Correlations and Granger causality between stress indices of regional carbon markets are also analyzed, suggesting significant positive correlations and certain linkages between carbon markets of Beijing, Shanghai and Guangdong. It indicates that certain contagion risk exists between the three carbon markets and also implies a basis for establishing a unified carbon market among the three.