The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets

Yi Yao, Lixin Tian and Cao Guangxi
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Yi Yao: Institute of Finance and Statistics, School of Mathematical Sciences, Nanjing Normal University, Nanjing 210023, China
Lixin Tian: Energy Development and Environmental Protection Strategy Research Center, Jiangsu University, Zhenjiang 212013, China

Sustainability, 2022, vol. 14, issue 8, 1-18

Abstract: The carbon emission trading market is an important policy tool to promote the realization of China’s carbon peaking and carbon neutrality goals. Research on the relationship between the carbon market and other related ones supports policy formulation and risk aversion. Firstly, we construct the Carbon–Energy–Stock system to compare the information spillover between the three subsystems under a unified framework. Secondly, we adopt the connectedness network to identify the role and status of the carbon, energy, and stock markets. Thirdly, through the rolling window approach, we explore the dynamic evolution of the information spillover. The results show that (1) the information spillover effect between China’s pilot carbon markets, the energy market, and the stock market is relatively low; (2) in the Carbon–Energy–Stock system, China’s pilot carbon markets behave as the information transmitters, and the Guangdong pilot and Beijing pilot are core pilots. The coal market is the top information recipient, while the new energy industry is the top information transmitter; (3) the system connectivity shows the characteristics of increasing first and then decreasing. For investors and policymakers, looking at each market from a systems point of view will present a more accurate understanding of them and their interconnections.

Keywords: carbon market; energy market; stock market; connectedness network; information spillover (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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