Based on the panel data of prefecture-level and above cities in China, this paper uses a combination of Difference-in-Difference and trajectory balancing methods to investigate the energy conservation and emission reduction effects of the carbon financial market as an environmental regulation policy tool. The results reveal that: (1) The energy consumption per unit of Gross Domestic Product experienced a significant decline after the implementation of carbon emission trading market policy in 2013. The carbon market policy has continuous positive effects on energy conservation and emission reduction. (2) There was no significant difference in energy consumption per unit of Gross Domestic Product in pilot cities and non-pilot cities before the implementation of the carbon emission trading policy. (3) Through the specific analysis of each pilot city via trajectory balancing method, all pilot areas produced energy conservation and emission reduction effects to different degrees. The energy conservation and emission reduction effects in Tianjin and Chongqing after the policy implementation were particularly obvious. Finally, we propose that China should adhere to the carbon trading policy of "market decision and government regulation", speed up the construction of carbon financial market, implement relevant policies according to regional differences, speed up the adjustment of regional industrial structure and improve the technological innovation ability of enterprises.