Guangzhou Institute of International Finance, Guangzhou University, Guangzhou, 510006, China.
Business School, Hunan First Normal University, Changsha, 410205, China.
Environ Sci Pollut Res Int. 2022 Jan;29(4):5912-5922. doi: 10.1007/s11356-021-15647-y. Epub 2021 Aug 25.
We analyze the dynamic correlation between the carbon price and the stock returns of green energy companies and calculate the hedging effect of the carbon price on stock returns in green energy sectors. The results show that the coefficients of the carbon price change with time and are vulnerable to extreme events like the COVID-19. The quantile-on-quantile (QQ) model results reveal a dynamic effect from the carbon price to the stock returns of green energy sectors. The quantile coherency (QC) approach results show that investors can benefit more in the short term with high-frequency trading to hedge between carbon trading and the green energy stock market. What is more, the hedging effects are heterogenetic and investors should adjust their hedging strategies in different quantiles.
我们分析了碳价格与绿色能源公司股票收益之间的动态相关性，并计算了碳价格对绿色能源板块股票收益的套期保值效果。结果表明，碳价格的系数随时间变化，并且容易受到 COVID-19 等极端事件的影响。分位数-分位数 (QQ) 模型的结果显示了碳价格对绿色能源板块股票收益的动态影响。分位数凝聚度 (QC) 方法的结果表明，投资者可以通过高频交易在短期内受益更多，以在碳交易和绿色能源股票市场之间进行套期保值。更重要的是，套期保值效果是异质的，投资者应该在不同的分位数调整他们的套期保值策略。
