Spillover connectedness between oil and China's industry stock markets: A perspective of carbon emissions

Yingying Zhang and Shaojun Xu

Finance Research Letters, 2023, vol. 54, issue C

Abstract: From a new perspective on industry carbon emissions, we divide 34 stock industries in China into three portfolios (Clean Portfolio, Dirty Portfolio, and Ordinary Portfolio). Using a network connectedness approach, we examine the return and volatility spillover connectedness between oil and these three portfolios. We find that Clean Portfolio is the spillover “sender”, and Dirty Portfolio and Brent, especially Brent, are the “receivers”. It reflects the policy-driven feature of Chinese stock market, with a great increasing number of low-carbon industry supporting polices. The return spillover is concentrated on the short-term, while the volatility spillover has a more persistent risk transmission. The public health shock impacts spillovers more than financial shocks. Our results are valuable for investors and policy makers.

Keywords: Spillover index; Time and frequency connectedness; Oil market; Industry stock market; Carbon emission (search for similar items in EconPapers)
JEL-codes: C5 G01 G10 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001095

DOI: 10.1016/j.frl.2023.103736

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