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Asymmetric effects of carbon pricing on european sector stock returns: a short-term analysis

Author

Listed:
  • Rim Oueghlissi

    (University of Jendouba (FSJEG, Economics Department), ECSTRA (IHEC, University of Carthage))

  • Ahmed Derbali

    (ECSTRA (IHEC, University of Carthage))

Abstract

This study examines the response of European sector stock markets to fluctuations in carbon prices based on weekly data from October 30, 2009 to May 12, 2023, across fifteen European sectors. Using both linear and asymmetric models, the study examines whether the effects of the EUA prices on the stock market exhibit heterogeneity and asymmetry. The findings provide robust evidence of significant positive short-term correlations between carbon and stock prices across all sectors. They also suggest that changes in carbon pricing have a positive asymmetric short-term effect in stock prices of a certain sectors. These results carry substantial implications for policymakers and investors alike.

Suggested Citation

  • Rim Oueghlissi & Ahmed Derbali, 2025. "Asymmetric effects of carbon pricing on european sector stock returns: a short-term analysis," Environment Systems and Decisions, Springer, vol. 45(3), pages 1-13, September.
    • Handle: RePEc:spr:envsyd:v:45:y:2025:i:3:d:10.1007_s10669-025-10028-z
    DOI: 10.1007/s10669-025-10028-z
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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F3 - International Economics - - International Finance
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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