How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2024-02-05 DOI:10.1016/j.jcomm.2024.100386
Lu-Tao Zhao , Hai-Yi Liu , Xue-Hui Chen
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Abstract

As climate change becomes an important global issue and the global energy transformation accelerates, the complex risk transmission among carbon, energy, and stock markets is a concern. However, the majority of the existing studies are restricted to the time domain. This paper explores the risk spillovers of carbon, energy, and sectoral stock markets based on the time-frequency spillover approaches. Furthermore, wavelet coherence is employed to analyze the time-frequency dependence between markets. The findings suggest that there is a strong connectedness among carbon, energy, and sectoral stock markets, with significant differences in risk spillover at different frequencies. The carbon and energy markets are the net recipients of risk spillovers, while the industrial goods and services and financial services sectors act as the dominant risk transmitters. The crisis events have intensified the risk spillover magnitude. These results provide suggestions for risk management and asset allocation.

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碳市场如何与能源和行业股票互动?来自风险溢出和小波一致性的证据
随着气候变化成为重要的全球性问题以及全球能源转型的加速,碳市场、能源市场和股票市场之间复杂的风险传递问题备受关注。然而,现有研究大多局限于时域。本文基于时频溢出方法,探讨了碳市场、能源市场和行业股票市场的风险溢出效应。此外,本文还采用了小波相干性来分析市场之间的时频依赖性。研究结果表明,碳市场、能源市场和行业股票市场之间存在很强的关联性,不同频率下的风险溢出存在显著差异。碳市场和能源市场是风险溢出的净接受者,而工业产品和服务以及金融服务行业则是主要的风险传递者。危机事件加剧了风险溢出的程度。这些结果为风险管理和资产配置提供了建议。
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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
期刊最新文献
Editorial Board Carbon pricing and the commodity risk premium Have the causal effects between equities, oil prices, and monetary policy changed over time? Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics Commodity market downturn: Systemic risk and spillovers during left tail events
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