Lead-lag relations between the Chinese carbon and energy markets: Evidence from extreme climate shocks

Jingbo Li, Zhang-Hangjian Chen, Xiang Gao, Ronald Huisman and Kees Koedijk

Finance Research Letters, 2024, vol. 70, issue C

Abstract: We examine how lead-lag relationships between China's carbon market and energy markets change during extreme climate events. We show that extreme climate events strengthen the lead-lag relationship between markets, especially during extreme cold and heat periods during which energy demand spikes.

Keywords: Lead-lag relationships; Carbon markets; Energy markets; Extreme climate events (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013461

DOI: 10.1016/j.frl.2024.106317

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