A Study on the Correlation between Carbon Prices and Energy Companies’ Stock Prices Based on the Copula Model

Since the 21st century, global carbon emissions have been positively correlated with economic development. Research has shifted to exploring the relationship between carbon prices and energy companies’ stock prices. This is crucial for carbon asset management and market performance, especially in China, where the carbon trading market is still in its infancy. This study constructs a theoretical framework linking carbon prices, corporate value, and stock prices. Empirical analysis using the ARIMA(1,0,1)-GARCH(1,1)-t model and the Gumbel Copula function reveals that both carbon prices and energy stock prices exhibit leptokurtosis and volatility clustering, with Hubei carbon prices showing higher volatility. Traditional energy companies’ stock prices show low correlation with carbon prices, while new energy companies’ stock prices are positively correlated, particularly in the upper tail. Tail correlations between carbon prices and energy stock prices are weak, indicating low market linkage effects. The study recommends government support for the new energy industry, promotion of low-carbon technologies, and a green economic transformation. New energy companies should leverage carbon assets to enhance profits, while traditional energy companies should upgrade their low-carbon technologies and improve energy efficiency.