Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events
Based on the DY spillover index model, we explore the static and dynamic risk spillover relationships between the Chinese carbon and stock markets from the perspective of the entire market and different industry levels. Furthermore, we examine the impact of diverse types of exogenous events on the r...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-12-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/16/1/97 |
| _version_ | 1797625899724570624 |
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| author | Mengli Xia Zhang-Hangjian Chen Piao Wang |
| author_facet | Mengli Xia Zhang-Hangjian Chen Piao Wang |
| author_sort | Mengli Xia |
| collection | DOAJ |
| description | Based on the DY spillover index model, we explore the static and dynamic risk spillover relationships between the Chinese carbon and stock markets from the perspective of the entire market and different industry levels. Furthermore, we examine the impact of diverse types of exogenous events on the risk spillover effects. The empirical results of the sectoral stock market show that the carbon market is the primary risk taker, and the risk spillover to the carbon market is mainly from high-carbon-emitting industries, such as the oil and electricity industries. However, the risk spillover relationship will be reversed under the shocks from exogenous events. The shocks from different types of exogenous events enhance the risk spillover from the carbon market to the stock market, specifically to the oil sector. The Sino–U.S. trade war and the COVID-19 outbreak are more impactful than government policies. These findings help investors to understand the risk conduct patterns among different financial sub-markets, and have implications for regulators to strengthen market risk management. |
| first_indexed | 2024-03-11T10:03:00Z |
| format | Article |
| id | doaj.art-7a8937940dc044db905c189590424df4 |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-11T10:03:00Z |
| publishDate | 2022-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-7a8937940dc044db905c189590424df42023-11-16T15:14:29ZengMDPI AGEnergies1996-10732022-12-011619710.3390/en16010097Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous EventsMengli Xia0Zhang-Hangjian Chen1Piao Wang2School of Economics, Anhui University, Hefei 230601, ChinaSchool of Economics, Anhui University, Hefei 230601, ChinaSchool of Big Data and Statistics, Anhui University, Hefei 230601, ChinaBased on the DY spillover index model, we explore the static and dynamic risk spillover relationships between the Chinese carbon and stock markets from the perspective of the entire market and different industry levels. Furthermore, we examine the impact of diverse types of exogenous events on the risk spillover effects. The empirical results of the sectoral stock market show that the carbon market is the primary risk taker, and the risk spillover to the carbon market is mainly from high-carbon-emitting industries, such as the oil and electricity industries. However, the risk spillover relationship will be reversed under the shocks from exogenous events. The shocks from different types of exogenous events enhance the risk spillover from the carbon market to the stock market, specifically to the oil sector. The Sino–U.S. trade war and the COVID-19 outbreak are more impactful than government policies. These findings help investors to understand the risk conduct patterns among different financial sub-markets, and have implications for regulators to strengthen market risk management.https://www.mdpi.com/1996-1073/16/1/97carbon emission trading marketrisk spilloverstock marketexogenous shock |
| spellingShingle | Mengli Xia Zhang-Hangjian Chen Piao Wang Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events Energies carbon emission trading market risk spillover stock market exogenous shock |
| title | Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events |
| title_full | Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events |
| title_fullStr | Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events |
| title_full_unstemmed | Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events |
| title_short | Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events |
| title_sort | dynamic risk spillover effect between the carbon and stock markets under the shocks from exogenous events |
| topic | carbon emission trading market risk spillover stock market exogenous shock |
| url | https://www.mdpi.com/1996-1073/16/1/97 |
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