The relationship between carbon market attention and the EU CET market: Evidence from different market conditions

Yan Zheng, Fenghua Wen, Hanshi Deng and Aiqing Zeng

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This paper investigates the relationship between carbon market attention (CMA) and the European Union's carbon emission allowance (EUA) returns under different market conditions. Further, explore whether there is a lag effect between CMA and the EUA returns. The result shows that CMA has a negative effect on the EUA returns. Meanwhile, the influence strength shows a gradually increasing trend, mainly under bullish market conditions. Moreover, we find a lag effect of reversal relationship between CMA and the EUA returns. This effect occurs mainly under bullish market conditions and shows a trend of first increasing and then decreasing.

Keywords: Carbon market attention; Carbon emissions trading market; Principal component analysis; Quantile regression; Lagged effect (search for similar items in EconPapers)
JEL-codes: C21 C38 G15 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322003634

DOI: 10.1016/j.frl.2022.103140

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