Spillover effect among carbon bond market, carbon stock market and energy stock market: Evidence from China

Xiaozhu Guo, Yi Wang, Yixue Hao and Wenwen Zhang

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: In this paper, we employ the time domain dynamic connectedness method of Antonakakis et al. (2020) and the frequency domain dynamic connectedness method of Barunik and Ellington (2020) to explore the complex linkages among Chinese carbon bond market, carbon stock market and energy stock market. We find firstly that the spillover effects among Chinese carbon bond market, carbon stock market and energy stock market are dynamic and mainly transitional. Secondly, carbon stock market and carbon bond market (especially the carbon neutral bond market) play the role of the major net transmitter and receiver of shocks, respectively. And, their roles as net transmitter and receiver of shocks are persistent. Finally, the risks of companies that have achieved effective results in the field of carbon neutrality may bring greater pressure to the energy stock market, but the carbon bond market can alleviate this pressure to a certain extent. Meanwhile, the impact of carbon stock market on energy stock market and the ability of carbon bond market (especially the carbon neutral bond market) to mitigate the risks of the energy stock market is persistent.

Keywords: Carbon bond market; Carbon stock market; Energy stock market; Dynamic spillover effect (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008930

DOI: 10.1016/j.frl.2023.104521

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