IDEAS home Printed from https://ideas.repec.org/a/spr/empeco/v65y2023i6d10.1007_s00181-023-02439-1.html
   My bibliography  Save this article

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

Author

Listed:
  • Yingying Xu

    (Beihang University)

  • Xiang Li

    (University of Science and Technology Beijing)

Abstract

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.

Suggested Citation

  • Yingying Xu & Xiang Li, 2023. "Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices," Empirical Economics, Springer, vol. 65(6), pages 2521-2547, December.
    • Handle: RePEc:spr:empeco:v:65:y:2023:i:6:d:10.1007_s00181-023-02439-1
    DOI: 10.1007/s00181-023-02439-1
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s00181-023-02439-1
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s00181-023-02439-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Carbon market; Green energy; Grey energy; Spillover effect; Carbon emission;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:65:y:2023:i:6:d:10.1007_s00181-023-02439-1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.