The Spillover Effect between Carbon Emission Trading (CET) Price and Power Company Stock Price in China

Yanbin Li, Dan Nie, Bingkang Li and Xiyu Li
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Yanbin Li: School of Economics and Management, North China Electric Power University, Beijing 102206, China
Dan Nie: School of Economics and Management, North China Electric Power University, Beijing 102206, China
Bingkang Li: School of Economics and Management, North China Electric Power University, Beijing 102206, China
Xiyu Li: School of Environment, Education & Development, The University of Manchester, Manchester M13 9PL, UK

Sustainability, 2020, vol. 12, issue 16, 1-17

Abstract: The power sector is one of the major contributors to China’s carbon emissions, and its low-carbon transformation is of vital importance to China’s long-term sustainable development. This paper aims to investigate the spillover effect between the carbon emission trading (CET) market and power sector in China from a systematic perspective. We adopted the recently developed method of connectedness network and rolling window approach, and found that: (i) during our sample period, the total static spillover index and the average of total dynamic spillover indexes were 60.5735% and 57.9704%, respectively, and the spillover effect of this carbon-power system was relatively strong; (ii) there is weak bidirectional spillover effect between the CET market and the power sector, and the CET market is a net receiver of the information from the power sector; (iii) the CET market may exert a relatively high degree of impact on the power sector occasionally; (iv) for regulated power companies, their interactions with the carbon-power system may be related to its total holding installed capacity and the proportion of renewable energy installed. This study provides implications for policymakers, company managers, and market participants.

Keywords: carbon emission trading; carbon allowance price; power company; stock price; connectedness network; spillover effect (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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