新疆财经

新疆财经 >

2023 , Vol. 0 >Issue 5: 16 - 28

DOI: https://doi.org/10.16716/j.cnki.65-1030/f.2023.05.002

经济经纬

碳交易市场、能源市场与低碳股票市场的风险溢出效应——基于联合溢出指数模型的实证研究

  • 龚振庭 ,
  • 陈妍蓓
展开
  • 1.湛江幼儿师范专科学校，广东 湛江 524037
    2.岭南师范学院基础教育学院，广东 湛江 524000
龚振庭（1993—），男，湛江幼儿师范专科学校经济管理系助教，岭南师范学院基础教育学院助教，研究方向为金融风险管理、绿色金融；
陈妍蓓（1996—），女，湛江幼儿师范专科学校经济管理系助教，岭南师范学院基础教育学院助教，研究方向为绿色金融、旅游管理。

收稿日期: 2022-11-03

  网络出版日期: 2023-09-20

基金资助

广东省湛江市哲学社会科学规划青年项目“湛江‘大文旅’产业融合发展路径研究”(ZJ22QN02)

收起

The Spillover of Carbon Trading Market， Energy Market and Low Carbon Stock Market—An Empirical Study Based on the Joint Spillover Index Model

  • GONG Zhenting ,
  • CHEN Yanbei
Expand
  • 1. Zhanjiang Preschool Education College, Zhanjiang 524037, China
    2. Basic Education College, Lingnan Normal University, Zhanjiang 524000, China

Received date: 2022-11-03

  Online published: 2023-09-20

Fold

摘要

随着全国统一的碳交易市场建设步伐的逐步加快，科学衡量不同市场之间的风险溢出效应对于有效应对复杂多变的市场情况尤为重要。文章运用联合溢出指数模型，实证发现碳交易市场、能源市场与低碳股票市场之间存在风险溢出效应，且不同市场间的方向性溢出效应和净溢出效应存在明显的时变特征；相较于我国，欧盟碳交易市场的抗风险能力更强。对此，应建立碳交易市场、能源市场与低碳股票市场之间的风险预警机制，完善我国碳交易市场的政策体系和相关金融机构的信息披露机制，从而有效防范跨市场间的金融风险。

关键词： 碳交易市场; 能源市场; 中国低碳指数; 联合溢出效应

本文引用格式

龚振庭 , 陈妍蓓 . 碳交易市场、能源市场与低碳股票市场的风险溢出效应——基于联合溢出指数模型的实证研究[J]. 新疆财经, 2023 , 0(5) : 16 -28 . DOI: 10.16716/j.cnki.65-1030/f.2023.05.002

Abstract

With the gradual acceleration of the construction of a unified carbon trading market across China, scientifically measuring the risk spillover effects between different markets is particularly important for effectively responding to complex and ever-changing market conditions. The paper uses a joint spillover index model to empirically find that there is a risk spillover effect between the carbon trading market, energy market, and low-carbon stock market, and the directional spillover effect and net spillover effect between different markets have obvious time-varying characteristics. Compared with China, the EU carbon trading market has a stronger ability to resist risks. In this regard, a risk warning mechanism should be established between the carbon trading market, energy market, and low-carbon stock market, and the policy system construction of China’s carbon trading market and the information disclosure mechanism of relevant financial institutions should be improved to effectively prevent cross market financial risks.

Key words： carbon trading market; energy market; China Low Carbon Index; joint spillover effects

参考文献

[1] JIANG Y H, LIU L, MU J Q. Nonlinear dependence between China’s carbon market and stock market: new evidence from quantile coherency and causality-in-quantiles[J]. Environmental science and pollution research, 2022(30): 46064-46076.
[2] 张希良, 张达, 余润心. 中国特色全国碳市场设计理论与实践[J]. 管理世界, 2021(8):80-94.
[3] 龚旭, 姬强, 林伯强. 能源金融研究回顾与前沿方向探索[J]. 系统工程理论与实践, 2021(12):3349-3365.
[4] LIN B Q, CHEN Y F. Dynamic linkages and spillover effects between CET market,coal market and stock market of new energy companies:a case of Beijing CET market in China[J]. Energy, 2019(172):1198-1210.
[5] JI Q, ZHANG D Y, GENG J B. Information linkage,dynamic spillovers in prices and volatility between the carbon and energy markets[J]. Journal of cleaner production, 2018(198):972-978.
[6] 杨冰清, 张侠. 碳交易对中国低碳指数的溢出效应[J]. 山西能源学院学报, 2021(4):39-41.
[7] DIEBOLD F X, YILMAZ K. Measuring financial asset return and volatility spillovers,with application to global equity markets[J]. Economic journal, 2009(534):158-171.
[8] DIEBOLD F X, YILMAZ K. On the network topology of variance decompositions:measuring the connectedness of financial firms[J]. Journal of econometrics, 2014(1):119-134.
[9] 赵领娣, 范超, 王海霞. 中国碳市场与能源市场的时变溢出效应:基于溢出指数模型的实证研究[J]. 北京理工大学学报(社会科学版), 2021(1):28-40.
[10] LASTRAPES W, WIESEN T. The joint spillover index[J]. Economic modelling, 2021(94):681-691.
[11] 魏巍贤, 林伯强. 国内外石油价格波动性及其互动关系[J]. 经济研究, 2007(12):130-141.
[12] 刘明磊, 姬强, 范英. 金融危机前后国内外石油市场风险传导机制研究[J]. 数理统计与管理, 2014(1):9-20.
[13] 张大永, 姬强. 中国原油期货动态风险溢出研究[J]. 中国管理科学, 2018(11):42-49.
[14] GONG X, WEN F H, XIA X H. Investigating the risk-return trade-off for crude oil futures using high-frequency data[J]. Elsevier, 2017(196):152-161.
[15] LIU T Y, GONG X. Analyzing time-varying volatility spillovers between the crude oil markets using a new method[J]. Energy economics, 2020(87):104711.
[16] AN S F, GAO X Y, AN H Z, et al. Windowed volatility spillover effects among crude oil prices[J]. Energy, 2020 (200):117521.
[17] DAI Z F, ZHU H Y. Time-varying spillover effects and investment strategies between WTI crude oil,natural gas and Chinese stock markets related to belt and road initiative[J]. Energy economics, 2022(108):105883.
[18] GONG X, LIU Y, WANG X. Dynamic volatility spillovers across oil and natural gas futures markets based on a time- varying spillover method[J]. International review of financial analysis, 2021(76):101790.
[19] WALID M, UR R M, VINH V X. Dynamic frequency relationships and volatility spillovers in natural gas,crude oil, gas oil,gasoline,and heating oil markets:implications for portfolio management[J]. Resources policy, 2021(73):102172.
[20] ZHONG J, WANG M, DRAKEFORD B M. Spillover effects between oil and natural gas prices:evidence from emerging and developed markets[J]. Green finance, 2019(1):30-45.
[21] KUMAR S, PRADHAN A K, TIWARI A K, et al. Correlations and volatility spillovers between oil,natural gas, and stock prices in India[J]. Resources policy, 2019(62):282-291.
[22] JI Q, GENG J B, TIWARI A K. Information spillovers and connectedness networks in the oil and gas markets[J]. Energy economics, 2018(75):71-84.
[23] REN X H, YUE D, DONG K Y, et al. Information spillover and market connectedness:multi-scale quantile-on- quantile analysis of the crude oil and carbon markets[J]. Applied economics, 2022(38):4465-4485.
[24] DOU Y, LI Y Y, DONG K Y, et al. Dynamic linkages between economic policy uncertainty and the carbon futures market: does Covid-19 pandemic matter?[J]. Resources policy, 2022(75):102455.
[25] CHANG K, YE Z, WANG W. Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets:new evidence from China’s emissions trading scheme pilots[J]. Energy, 2019(10): 1314-1324.
[26] 刘建和, 梁佳丽, 陈霞. 我国碳市场与国内焦煤市场、欧盟碳市场的溢出效应研究[J]. 工业技术经济, 2020 (9):88-95.
[27] WANG Y D, GUO Z Y. The dynamic spillover between carbon and energy markets:new evidence[J]. Energy, 2018(149):24-33.
[28] XU Y Y. Risk spillover from energy market uncertainties to the Chinese carbon market[J]. Pacific-basin finance journal, 2021(67):101561.
[29] 曾林, 叶永卫, 王耀德. 碳交易价格对企业创新的影响:基于中国上市公司的实证研究[J]. 上海金融, 2021 (11):61-70.
[30] WEN F, WU N, GONG X. China’s carbon emissions tradingand stock returns[J]. Energy economics, 2020(86): 104627.
[31] 王竹葳, 孙浩瀚, 宋成松. 投资者关注与碳交易市场收益率:基于面板数据的实证研究[J]. 工业技术经济, 2021 (10):3-14.
[32] 赵选民, 魏雪. 传统能源价格与我国碳交易价格关系研究:基于我国七个碳排放权交易试点省市的面板数据[J]. 生态经济, 2019(2):31-34+52.
[33] NIE D, LI Y B, LI X Y. Dynamic spillovers and asymmetric spillover effect between the carbon emission trading market,fossil energy market,and new energy stock market in China[J]. Energies, 2021(19):6438-6438.
[34] 卜文珂, 赵蒙恩. 碳排放权价格对能源企业股价的影响研究:基于传统能源和新能源企业的对比分析[J]. 价格理论与实践, 2020(3):107-110.
[35] 曾清. 我国碳排放权价格对两类能源公司股价的影响:基于VECM模型的比较分析[J]. 金融发展研究, 2018(10):63-71.
[36] DIEBOLD F X, YILMAZ K. Better to give than to receive:predictive directional measurement of volatility spillovers[J]. International journal of forecasting, 2012(1):57-66.
[37] ANTONAKAKIS N, GABAUER D, GUPTA R, et al. Dynamic connectedness of uncertainty across developed economies: a time-varying approach[J]. Economics letters, 2018(166):63-75.
[38] 龚振庭. 中国碳交易市场与能源市场的时变溢出效应:基于联合溢出指数模型的实证研究[J]. 西部经济管理论坛, 2023(2):49-63.
[39] 陈凡, 龚振庭. 中国股市、欧盟碳市场对中国碳市场价格的影响[J]. 企业经济, 2023(3):48-57.
[40] KUMAR T A, AIKINS A E J, SIMON Y O. Tail risk dependence,co-movement and predictability between green bond and green stocks[J]. Applied economics, 2023(2):201-222.
[41] LIU J T. Time-frequency correlations and extreme spillover effects between carbon markets and NFTs:the roles of EPU and COVID-19[J]. Finance research letters, 2023(54):103690.
Options
文章导航

/

〈 〉