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Does the Carbon Emission Trading Market Have a Cascading Effect on the Energy Stock Market of China: Time and Frequency Evidence
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DOI：10.1002/sd.71537.png)
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Abstract
En 中文
The carbon emission trading (CET) market, as a significant policy tool in addressing climate change, is relevant to the energy stock market. This paper applies a research framework to systematically explore the multi-scale cascading transmission effect from the CET market to the energy stock market in China. In addition, this paper constructs the industry indexes of energy stocks for examining the transmission influences of price fluctuations over time. The results show that: (1) The range and degree of direct impact tend to increase with time scale; (2) Indirect impact is crucial in the cascading transmission process, and even reaches more than 50% in total impact over long time scales; (3) The shock response of the CET market to “Oil Gas Exploration & Oilfield Services” stocks is negative, while the CET market positively impacts the stock prices of “Oil & Gas” and “Coal” companies most of the time.
Keywords:
carbon emissions trading
cascading transmission
climate change
energy stock market
multi-scale analysis
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