The shadow price of CO₂ emissions plays a fundamental role in evaluating CO₂ abatement costs. In this paper, a directional environment production frontier function model based on the nonparametric method is established to measure the distance between actual production points and the effective production frontier surface, with which CO₂ shadow prices of 36 industrial sectors in China are estimated during 2006-2015. The empirical studies show that: (1) there is a negative relationship between shadow price and carbon intensity. The average shadow price of the top five sectors with the highest carbon intensity is 373.92 Yuan/t, while the top five sectors with the lowest carbon intensity are 50254.54 Yuan/t. CO₂ abatement potential differs significantly across sectors, so the sector-specific environmental policies should be concerned; (2) shadow prices of CO₂ have an upward tendency with time in all sectors, and they rise with a greater speed in the low carbon intensity sectors than in the high ones, which implies that emissions reduction is accompanied by increasing economic sacrifices; (3) there is an additional 3.07% growth of industrial value owing to the CO₂ emissions increasing by 6.39% every year; and (4) two typical sectors are selected to further analyze their CO₂ abatement characteristics, respectively.