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The relationship between carbon market attention and the EU CET market: Evidence from different market conditions

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  • Zheng, Yan
  • Wen, Fenghua
  • Deng, Hanshi
  • Zeng, Aiqing

Abstract

This paper investigates the relationship between carbon market attention (CMA) and the European Union's carbon emission allowance (EUA) returns under different market conditions. Further, explore whether there is a lag effect between CMA and the EUA returns. The result shows that CMA has a negative effect on the EUA returns. Meanwhile, the influence strength shows a gradually increasing trend, mainly under bullish market conditions. Moreover, we find a lag effect of reversal relationship between CMA and the EUA returns. This effect occurs mainly under bullish market conditions and shows a trend of first increasing and then decreasing.

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  • Zheng, Yan & Wen, Fenghua & Deng, Hanshi & Zeng, Aiqing, 2022. "The relationship between carbon market attention and the EU CET market: Evidence from different market conditions," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322003634
    DOI: 10.1016/j.frl.2022.103140
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    Cited by:

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    2. Bangzhu Zhu & Jingyi Zhang & Chunzhuo Wan & Julien Chevallier & Ping Wang, 2023. "An evolutionary cost‐sensitive support vector machine for carbon price trend forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 741-755, July.
    3. Wenwen Liu & Jinyu Yang & Jingrui Chen & Lei Xu, 2023. "How Social-Network Attention and Sentiment of Investors Affect Commodity Futures Market Returns: New Evidence From China," SAGE Open, , vol. 13(1), pages 21582440231, January.

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    More about this item

    Keywords

    Carbon market attention; Carbon emissions trading market; Principal component analysis; Quantile regression; Lagged effect;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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