The paper uses Capital Asset Pricing Model (CAPM) to analyze the market risk in European Union Emissions Trading System (EU ETS) and Zipf analysis technology to analyze the carbon price volatility in different expectations of returen. The results show the sensitivity of the future returns to the market’s returns in the second phase is less than first phase during the years from 2005 to 2007, and that of in the second phase is less than in the first phase. The systematic risk from 2005 to 2007 are the same as in the year from 2008 to 2009, the nonsystematic risk in the year from 2005 to 2007 was more than 10 times than in the year from 2008 to 2009. Abnormal returns in carbon market are lower than 0.02% in the year from 2008 to 2009. High expectations returns will been restricted. The probability of price down is 1.1 times higher than price up when the expectations of returns is 20% and time scales is 250 days. Carbon price is affected by market mechanism, seasonal and heterogeneous events in the low expectations of returns, but the carbon price change is instable and highly risky in the high expectations of returns.