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Correlation and spillover effects between the carbon market and China's stock market: Evidence from wavelet and quantile coherency network analysis.
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- Author(s): Sun, Luxi (AUTHOR); Wang, Zhili (AUTHOR); Kong, Shuning (AUTHOR); Xia, Xiaohua (AUTHOR)
- Source:
International Review of Economics & Finance. Jun2024:Part A, Vol. 93, p1175-1196. 22p. - Source:
- Additional Information
- Subject Terms:
- Subject Terms:
- Abstract: This study examines the correlation and spillover effects between the carbon allowance trading market and the stock market, using samples from the European Union carbon market and 31 primary industries of China's stock market. First, to evaluate the cooperative movement of the carbon allowance trading market and China's stock market segmented by industry across the time-frequency domain, we adopt a unique vector wavelet coherence (VWC) method. Second, we employ the Maximal Overlap Discrete Wavelet Transform (MODWT) in conjunction with the quantile coherency (QC) approach to determine the overall dependence structure among returns of 31 industries within China's stock market, across varied frequencies and under varying market status. Additionally, our analysis on the influence of carbon price volatility on the China's stock market using a spatial autoregressive (SAR) framework measures the extent of its spillover effects. Our findings suggest that the coordinated movement of the carbon allowance trading market and the stock market is more pronounced in the medium and long-term, as opposed to the short-term. Price fluctuations within the carbon allowance trading market have beneficial impacts on stock market return rates, which can be spread among different industries through the correlation of quantiles between industries. In addition, industrial correlations at different frequencies and different market situations show heterogeneous patterns of shock propagation. Due to the thorough research framework, the analysis furthers the research on carbon finance and hold implications for both improving investment portfolios and informing policymaking. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of International Review of Economics & Finance is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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