Institute of Finance and School of Economics, Jinan University, Guangzhou, 510632, China.
Economics Department, Wisconsin University, Eau Claire, WI, 54701, USA.
Environ Sci Pollut Res Int. 2022 Jun;29(30):46064-46076. doi: 10.1007/s11356-022-19179-x. Epub 2022 Feb 14.
This study examines the nonlinear dependence between carbon market and stock market in China under normal and extreme market conditions by employing two novel nonlinear approaches, namely, quantile coherency and causality-in-quantiles methods. Given our results on the overall and sector level of stock market, we find that there is a negative dependence between the two markets under bearish and normal market states in the short- and medium-term respectively, while the dependence becomes positive under bearish and bullish market states in the long-term. Furthermore, we also prove that the Granger causality from carbon market to stock market exists. However, no evident impacts from stock market to carbon market have been found. Additionally, at sector stock market, we discover heterogeneity across market conditions. And emission-intensive sector stock indices are more affected by carbon prices.
本研究采用两种新的非线性方法，即分位数一致性和分位数因果关系方法，考察了中国碳市场与股票市场之间在正常和极端市场条件下的非线性关系。根据我们对股票市场整体和部门层面的研究结果，我们发现，在短期和中期，在看跌和正常市场状态下，两个市场之间存在负相关，而在长期，在看跌和看涨市场状态下，相关性变为正相关。此外，我们还证明了碳市场到股票市场的格兰杰因果关系的存在。然而，没有发现股票市场对碳市场有明显的影响。此外，在部门股票市场中，我们发现市场条件存在异质性。排放密集型部门的股票指数受碳价格的影响更大。
