Nonlinear dependence between China’s carbon market and stock market: new evidence from quantile coherency and causality-in-quantiles
2022
Jiang, Yonghong | Liu, Lu | Mu, Jinqi
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.
اظهر المزيد [+] اقل [-]الكلمات المفتاحية الخاصة بالمكنز الزراعي (أجروفوك)
المعلومات البيبليوغرافية
تم تزويد هذا السجل من قبل National Agricultural Library
