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Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices

Carbon trading and new energy markets are two key mechanisms for carbon reduction. However, theoretical analysis cannot reveal the complex links between carbon, green, and grey markets. Therefore, this study resorts to the frequency spillover index to explore the overall and directional connectednes...

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Autores principales: Xu, Yingying, Li, Xiang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10255947/
https://www.ncbi.nlm.nih.gov/pubmed/37361941
http://dx.doi.org/10.1007/s00181-023-02439-1
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author Xu, Yingying
Li, Xiang
author_facet Xu, Yingying
Li, Xiang
author_sort Xu, Yingying
collection PubMed
description Carbon trading and new energy markets are two key mechanisms for carbon reduction. However, theoretical analysis cannot reveal the complex links between carbon, green, and grey markets. Therefore, this study resorts to the frequency spillover index to explore the overall and directional connectedness of carbon-energy systems in China. The spillover effect indicates the cross-market propagation of information shocks and the potential ripple effects of specific shocks on system-wide changes. Dynamic spillovers suggest that the role of a certain market is not unchanged. In the time domain, both the overall and directional spillovers are closely related with the trading of carbon allowances and tend to show jumps at the beginning and end of the cycle. In the frequency domain, the short-term effects are much stronger than the medium- and long-term effects on all dimensions of the spillover effect. Comparatively, the grey energy is the main information transmitter at the high frequency, whereas it is the green energy playing such a role at medium and low frequencies. Comparing the overall spillovers on carbon markets, the effect of grey energy exceeds that of green energy. Even so, the carbon market plays an important role in the carbon-energy system with extremely significant effects on green and grey energy stocks at certain periods. The results provide profound implications for the management of carbon markets and portfolio optimization.
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spelling pubmed-102559472023-06-12 Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices Xu, Yingying Li, Xiang Empir Econ Article Carbon trading and new energy markets are two key mechanisms for carbon reduction. However, theoretical analysis cannot reveal the complex links between carbon, green, and grey markets. Therefore, this study resorts to the frequency spillover index to explore the overall and directional connectedness of carbon-energy systems in China. The spillover effect indicates the cross-market propagation of information shocks and the potential ripple effects of specific shocks on system-wide changes. Dynamic spillovers suggest that the role of a certain market is not unchanged. In the time domain, both the overall and directional spillovers are closely related with the trading of carbon allowances and tend to show jumps at the beginning and end of the cycle. In the frequency domain, the short-term effects are much stronger than the medium- and long-term effects on all dimensions of the spillover effect. Comparatively, the grey energy is the main information transmitter at the high frequency, whereas it is the green energy playing such a role at medium and low frequencies. Comparing the overall spillovers on carbon markets, the effect of grey energy exceeds that of green energy. Even so, the carbon market plays an important role in the carbon-energy system with extremely significant effects on green and grey energy stocks at certain periods. The results provide profound implications for the management of carbon markets and portfolio optimization. Springer Berlin Heidelberg 2023-06-09 /pmc/articles/PMC10255947/ /pubmed/37361941 http://dx.doi.org/10.1007/s00181-023-02439-1 Text en © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Xu, Yingying
Li, Xiang
Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
title Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
title_full Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
title_fullStr Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
title_full_unstemmed Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
title_short Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
title_sort green or grey stocks? dynamic effects of carbon markets based on chinese practices
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10255947/
https://www.ncbi.nlm.nih.gov/pubmed/37361941
http://dx.doi.org/10.1007/s00181-023-02439-1
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