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The impact of national carbon market establishment on risk transmission among carbon and energy markets in China: A systemic importance analysis

Author

Listed:
  • Xing, Xiaoyun
  • Chen, Ying
  • Wang, Xiuya
  • Li, Boyao
  • Deng, Jing

Abstract

This paper examines the time–frequency spillovers between carbon, fossil energy and new energy stock markets through Diebold–Yilmaz (DY) and Barunik–Krehlik (BK) index models, paying special attention to the impact rendered by the establishment of China’s National Carbon Market (CNCM). Employing network analysis, the systemically important nodes among the markets are identified. We find that carbon market has turned from net risk receivers to transmitters since the CNCM establishment. The spillovers among the markets are smaller in the long-term compared with that in the medium- and short-term. We also infer that carbon market becomes more systematically important after the CNCM establishment.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005913
    DOI: 10.1016/j.frl.2023.104219
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    More about this item

    Keywords

    Carbon market; Energy markets; Risk spillovers; Complex network; Node centrality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

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