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The dynamic spillover between carbon and energy markets: New evidence

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  1. Qi, Haozhi & Wu, Tiantian & Chen, Hao & Lu, Xiuling, 2023. "Time-frequency connectedness and cross-quantile dependence between carbon emission trading and commodity markets: Evidence from China," Resources Policy, Elsevier, vol. 82(C).
  2. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  3. Lovcha, Yuliya & Pérez Laborda, Àlex & Sikora, Iryna, 2019. "The Determinants of CO2 prices in the EU ETS System," Working Papers 2072/376031, Universitat Rovira i Virgili, Department of Economics.
  4. Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
  5. Li, Weiping & Chen, Xiaoqi & Huang, Jiashun & Gong, Xu & Wu, Wei, 2022. "Do environmental regulations affect firm's cash holdings? Evidence from a quasi-natural experiment," Energy Economics, Elsevier, vol. 112(C).
  6. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
  7. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).
  8. Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
  9. Chang, Kai & Ye, Zhifang & Wang, Weihong, 2019. "Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots," Energy, Elsevier, vol. 185(C), pages 1314-1324.
  10. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
  11. Pilar Gargallo & Luis Lample & Jesús A. Miguel & Manuel Salvador, 2021. "Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach," Mathematics, MDPI, vol. 9(15), pages 1-36, July.
  12. Lovcha, Yuliya & Perez-Laborda, Alejandro & Sikora, Iryna, 2022. "The determinants of CO2 prices in the EU emission trading system," Applied Energy, Elsevier, vol. 305(C).
  13. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
  14. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
  15. Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Quantile connectedness between energy, metal, and carbon markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
  16. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
  17. Minggang Wang & Chenyu Hua & Hua Xu, 2022. "Dynamic Linkages among Carbon, Energy and Financial Markets: Multiplex Recurrence Network Approach," Mathematics, MDPI, vol. 10(11), pages 1-23, May.
  18. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
  19. Qiao, Sen & Dang, Yi Jing & Ren, Zheng Yu & Zhang, Kai Quan, 2023. "The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method," Energy, Elsevier, vol. 266(C).
  20. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
  21. Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
  22. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
  23. Tan, Zhizhou & Zeng, Xianhai & Lin, Boqiang, 2023. "How do multiple policy incentives influence investors’ decisions on biomass co-firing combined with carbon capture and storage retrofit projects for coal-fired power plants?," Energy, Elsevier, vol. 278(PB).
  24. Kim, Young Min & Lee, Seojin, 2023. "Spillover shifts in the FX market: Implication for the behavior of a safe haven currency," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
  25. Zhou, Wei & Chen, Yan & Chen, Jin, 2022. "Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic," Energy, Elsevier, vol. 256(C).
  26. Yu-Ling Hsiao, Cody & Wei, Xinyang & Sheng, Ni & Shao, Chengwu, 2021. "A joint test of policy contagion with application to the solar sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 141(C).
  27. Han, Meng & Ding, Lili & Zhao, Xin & Kang, Wanglin, 2019. "Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors," Energy, Elsevier, vol. 171(C), pages 69-76.
  28. Yi Yao & Lixin Tian & Guangxi Cao, 2022. "The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets," Sustainability, MDPI, vol. 14(8), pages 1-18, April.
  29. Meng, Bin & Chen, Shuiyang & Haralambides, Hercules & Kuang, Haibo & Fan, Lidong, 2023. "Information spillovers between carbon emissions trading prices and shipping markets: A time-frequency analysis," Energy Economics, Elsevier, vol. 120(C).
  30. Mesut Doğan & Sutbayeva Raikhan & Nurbossynova Zhanar & Bodaukhan Gulbagda, 2023. "Analysis of Dynamic Connectedness Relationships among Clean Energy, Carbon Emission Allowance, and BIST Indexes," Sustainability, MDPI, vol. 15(7), pages 1-13, March.
  31. Tangyong Liu & Xu Gong & Boqiang Lin, 2021. "Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1375-1396, September.
  32. Jiang, Wei & Chen, Yunfei, 2022. "The time-frequency connectedness among carbon, traditional/new energy and material markets of China in pre- and post-COVID-19 outbreak periods," Energy, Elsevier, vol. 246(C).
  33. Gargallo, Pilar & Lample, Luis & Miguel, Jesús & Salvador, Manuel, 2022. "Dynamic comparison of portfolio risk: Clean vs dirty energy," Finance Research Letters, Elsevier, vol. 47(PA).
  34. Hsiao, Cody Yu-Ling & Chen, Hsing Hung, 2018. "The contagious effects on economic development after resuming construction policy for nuclear power plants in Coastal China," Energy, Elsevier, vol. 152(C), pages 291-302.
  35. Tang, Chun & Liu, Xiaoxing & Chen, Guangkun, 2023. "The spillover effects in the “Energy – Carbon – Stock” system – Evidence from China," Energy, Elsevier, vol. 278(PA).
  36. Wang, Hu & Li, Shouwei, 2021. "Asymmetric volatility spillovers between crude oil and China's financial markets," Energy, Elsevier, vol. 233(C).
  37. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
  38. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
  39. Li, Xin & Li, Zheng & Su, Chi-Wei & Umar, Muhammad & Shao, Xuefeng, 2022. "Exploring the asymmetric impact of economic policy uncertainty on China's carbon emissions trading market price: Do different types of uncertainty matter?," Technological Forecasting and Social Change, Elsevier, vol. 178(C).
  40. Florin Onea & Liliana Rusu, 2018. "Evaluation of Some State-Of-The-Art Wind Technologies in the Nearshore of the Black Sea," Energies, MDPI, vol. 11(9), pages 1-16, September.
  41. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
  42. Wang, Jiqian & Guo, Xiaozhu & Tan, Xueping & Chevallier, Julien & Ma, Feng, 2023. "Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?," Energy Economics, Elsevier, vol. 117(C).
  43. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).
  44. Ozturk, Serda Selin & Demirer, Riza & Gupta, Rangan, 2022. "Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks," Economics Letters, Elsevier, vol. 217(C).
  45. Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
  46. Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
  47. Yin, Kedong & Liu, Zhe & Jin, Xue, 2020. "Interindustry volatility spillover effects in China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  48. Jiang, Wei & Dong, Lingfei & Liu, Xinyi, 2023. "How does COVID-19 affect the spillover effects of green finance, carbon markets, and renewable/non-renewable energy markets? Evidence from China," Energy, Elsevier, vol. 281(C).
  49. Yao, Can-Zhong & Mo, Yi-Na & Zhang, Ze-Kun, 2021. "A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  50. Joao Leitao & Joaquim Ferreira & Ernesto Santibanez‐Gonzalez, 2021. "Green bonds, sustainable development and environmental policy in the European Union carbon market," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 2077-2090, May.
  51. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
  52. Ren, Xiaohang & Li, Yiying & yan, Cheng & Wen, Fenghua & Lu, Zudi, 2022. "The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
  53. Sun, Guanglin & Li, Jianfeng & Shang, Zezhong, 2022. "Return and volatility linkages between international energy markets and Chinese commodity market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
  54. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
  55. Ahonen, Elena & Corbet, Shaen & Goodell, John W. & Günay, Samet & Larkin, Charles, 2022. "Are carbon futures prices stable? New evidence during negative oil," Finance Research Letters, Elsevier, vol. 47(PB).
  56. Jiang, Wei & Chen, Yunfei, 2022. "The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 77(C).
  57. Qianrui Hwang & Min Yao & Shugang Li & Fang Wang & Zhenmin Luo & Zheng Li & Tongshuang Liu, 2023. "Risk Spillovers between China’s Carbon and Energy Markets," Energies, MDPI, vol. 16(19), pages 1-17, September.
  58. Xu, Xinkuo & Guan, Chengmei & Jin, Jiayu, 2018. "Valuing the carbon assets of distributed photovoltaic generation in China," Energy Policy, Elsevier, vol. 121(C), pages 374-382.
  59. Chun Jiang & Yi-Fan Wu & Xiao-Lin Li & Xin Li, 2020. "Time-frequency Connectedness between Coal Market Prices, New Energy Stock Prices and CO 2 Emissions Trading Prices in China," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
  60. Bigerna, Simona & D’Errico, Maria Chiara & Polinori, Paolo, 2022. "Dynamic forecast error variance decomposition as risk management process for the Gulf Cooperation Council oil portfolios," Resources Policy, Elsevier, vol. 78(C).
  61. Xie He & Tetsuya Takiguchi & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Spillover effects between energies, gold, and stock: the United States versus China," Energy & Environment, , vol. 31(8), pages 1416-1447, December.
  62. Wen, Fenghua & Zhao, Haocen & Zhao, Lili & Yin, Hua, 2022. "What drive carbon price dynamics in China?," International Review of Financial Analysis, Elsevier, vol. 79(C).
  63. Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
  64. Yue‐Jun Zhang & Shu‐Jiao Ma, 2021. "Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2414-2435, April.
  65. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
  66. Zhao, Lili & Wen, Fenghua & Wang, Xiong, 2020. "Interaction among China carbon emission trading markets: Nonlinear Granger causality and time-varying effect," Energy Economics, Elsevier, vol. 91(C).
  67. Wu, Ruirui & Qin, Zhongfeng & Liu, Bing-Yue, 2022. "A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China," Energy, Elsevier, vol. 254(PA).
  68. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
  69. Mengli Xia & Zhang-Hangjian Chen & Piao Wang, 2022. "Dynamic Risk Spillover Effect between the Carbon and Stock Markets under the Shocks from Exogenous Events," Energies, MDPI, vol. 16(1), pages 1-15, December.
  70. Gong, Xu & Chen, Liqiang & Lin, Boqiang, 2020. "Analyzing dynamic impacts of different oil shocks on oil price," Energy, Elsevier, vol. 198(C).
  71. An, Pengli & Li, Huajiao & Zhou, Jinsheng & Li, Yang & Sun, Bowen & Guo, Sui & Qi, Yajie, 2020. "Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method," Energy, Elsevier, vol. 191(C).
  72. Hanif, Waqas & Arreola Hernandez, Jose & Mensi, Walid & Kang, Sang Hoon & Uddin, Gazi Salah & Yoon, Seong-Min, 2021. "Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices," Energy Economics, Elsevier, vol. 101(C).
  73. Chen, Yufeng & Li, Wenqi & Qu, Fang, 2019. "Dynamic asymmetric spillovers and volatility interdependence on China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 825-838.
  74. Su, Chi-Wei & Pang, Li-Dong & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises," Energy, Elsevier, vol. 274(C).
  75. Lee, Chien-Chiang & Zhou, Hegang & Xu, Chao & Zhang, Xiaoming, 2023. "Dynamic spillover effects among international crude oil markets from the time-frequency perspective," Resources Policy, Elsevier, vol. 80(C).
  76. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
  77. Yaxue Yan & Weijuan Liang & Banban Wang & Xiaoling Zhang, 2023. "Spillover effect among independent carbon markets: evidence from China’s carbon markets," Economic Change and Restructuring, Springer, vol. 56(5), pages 3065-3093, October.
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  79. Chen, Weidong & Xiong, Shi & Chen, Quanyu, 2022. "Characterizing the dynamic evolutionary behavior of multivariate price movement fluctuation in the carbon-fuel energy markets system from complex network perspective," Energy, Elsevier, vol. 239(PA).
  80. Gong, Xu & Shi, Rong & Xu, Jun & Lin, Boqiang, 2021. "Analyzing spillover effects between carbon and fossil energy markets from a time-varying perspective," Applied Energy, Elsevier, vol. 285(C).
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  84. Liu, Tangyong & Gong, Xu, 2020. "Analyzing time-varying volatility spillovers between the crude oil markets using a new method," Energy Economics, Elsevier, vol. 87(C).
  85. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).
  86. Xia, Yufei & Li, Jinglong & Fu, Yating, 2022. "Are non-fungible tokens (NFTs) different asset classes? Evidence from quantile connectedness approach," Finance Research Letters, Elsevier, vol. 49(C).
  87. Zhang, Yi, 2018. "Investigating dependencies among oil price and tanker market variables by copula-based multivariate models," Energy, Elsevier, vol. 161(C), pages 435-446.
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  90. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2022. "Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals," International Journal of Forecasting, Elsevier, vol. 38(3), pages 944-969.
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  92. Xing, Xiaoyun & Chen, Ying & Wang, Xiuya & Li, Boyao & Deng, Jing, 2023. "The impact of national carbon market establishment on risk transmission among carbon and energy markets in China: A systemic importance analysis," Finance Research Letters, Elsevier, vol. 57(C).
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