Does carbon price volatility affect European stock market sectors? A connectedness network analysis

Aydin Aslan and Peter N. Posch

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

Abstract: We investigate how the volatility of carbon emission allowance (EUA) prices affects European stock market sectors. We employ a connectedness network analysis on prices of EUA futures and FTSE stock market sector indices and find that the EUA is mostly a net receiver of volatility connectedness and significantly receives volatility across most sectors during the recent European energy crisis.

Keywords: EU ETS; EUA; Connectedness network; Volatility spillover (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004974

DOI: 10.1016/j.frl.2022.103318

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