The impact of national carbon market establishment on risk transmission among carbon and energy markets in China: A systemic importance analysis

Xiaoyun Xing, Ying Chen, Xiuya Wang, Boyao Li and Jing Deng

Finance Research Letters, 2023, vol. 57, issue C

Abstract: This paper examines the time–frequency spillovers between carbon, fossil energy and new energy stock markets through Diebold–Yilmaz (DY) and Barunik–Krehlik (BK) index models, paying special attention to the impact rendered by the establishment of China’s National Carbon Market (CNCM). Employing network analysis, the systemically important nodes among the markets are identified. We find that carbon market has turned from net risk receivers to transmitters since the CNCM establishment. The spillovers among the markets are smaller in the long-term compared with that in the medium- and short-term. We also infer that carbon market becomes more systematically important after the CNCM establishment.

Keywords: Carbon market; Energy markets; Risk spillovers; Complex network; Node centrality (search for similar items in EconPapers)
JEL-codes: C32 D85 G10 Q56 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005913

DOI: 10.1016/j.frl.2023.104219

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