Identifying Risk Transmission in Carbon Market With Energy, Commodity and Financial Markets: Evidence From Time-Frequency and Extreme Risk Spillovers

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS ACS Applied Bio Materials Pub Date : 2022-06-22 DOI:10.3389/fenrg.2022.922808
Yufeng Chen, Chuwen Wang, Jiafeng Miao, Tanjun Zhou
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引用次数: 3

Abstract

The carbon market is a vital tool to achieve carbon neutrality. This paper uses daily closing price data of Shenzhen carbon trading market, energy, commodity and financial markets from 18 October 2018 to 19 August 2021, examining the transmission of risk/information from the perspective of market volatility spillover and tail risk transmission based on quantile spillover. The stock market crash and COVID-19 have increased the volatility of the system substantially. Next, the increase in trading frequency is accompanied by an increase in total volatility connectivity, and the carbon market transforms into a recipient of systemic shocks. Finally, the results of tail risk transmission reveal that the net effect of carbon reception increases significantly. These findings have implications for policymakers to improve the carbon market and provide important insights for investors to trade in turbulent periods.
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识别碳市场与能源、商品和金融市场的风险传导:来自时间频率和极端风险溢出的证据
碳市场是实现碳中和的重要工具。本文利用2018年10月18日至2021年8月19日深圳碳交易市场、能源、大宗商品和金融市场的每日收盘价格数据,从市场波动溢出和基于分位数溢出的尾部风险传递的角度考察了风险/信息的传递。股市崩盘和新冠肺炎大幅增加了该系统的波动性。其次,交易频率的增加伴随着总波动连通性的增加,碳市场转变为系统性冲击的接受者。最后,尾部风险传递的结果表明,碳接收的净效应显著增加。这些发现对政策制定者改善碳市场具有启示意义,并为投资者在动荡时期进行交易提供了重要见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
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