Dynamic Spillovers and Asymmetric Spillover Effect between the Carbon Emission Trading Market, Fossil Energy Market, and New Energy Stock Market in China

Dan Nie, Yanbin Li and Xiyu Li
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Dan Nie: School of Economics and Management, North China Electric Power University, Beijing 102206, China
Yanbin Li: School of Economics and Management, North China Electric Power University, Beijing 102206, China
Xiyu Li: School of Environment, Education & Development, The University of Manchester, Manchester M13 9PL, UK

Energies, 2021, vol. 14, issue 19, 1-22

Abstract: In 2020, China proposed the goal of achieving carbon emission peaks by 2030 and carbon neutrality by 2060. For China, whose energy consumption structure has long been dominated by fossil energy, carbon trading and new energy are crucial for the realization of the emission target. By establishing a connectedness network model, this paper studies the static and dynamic spillovers between the Hubei carbon trading market, new energy stock market, crude oil market, coal market, and natural gas market in China, and draws the following conclusions: (1) the static spillover index of the carbon–energy–stock system is 3.57% and the dynamic spillover index fluctuates between 7.67% and 22.62%, indicating that the spillover effect of the system is low; (2) for the whole system, whether from a static or dynamic perspective, the carbon market always plays the role of net information receiver, while new energy is the net information transmitter; (3) the new energy stock market and the coal market always act as net information transmitters to the carbon market; and (4) the spillover effect of the system is asymmetric, wherein the system is more sensitive to negative information about price returns, and this asymmetry is much greater when the system is active.

Keywords: carbon emission trading; carbon emission allowance price; new energy; crude oil price; coal price; natural gas price; connectedness network; asymmetric spillover effect (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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