Study On Spillover Effects Between Carbon Market,Traditional Energy Market And Energy Stock Market In China

With the increasingly obvious negative impact of climate change on the environment,countries around the world have strengthened their attention to environmental protection.The World Climate Conference has been organized and the establishment of carbon emission trading mechanism is widely considered to be the most effective way to solve environmental externalities.China attaches great importance to environmental protection and resource conservation.From the12 th Five-Year Plan period to the 13 th Five-Year Plan period,eight regional carbon markets have been established successively.In 2017,the construction of a national unified carbon emission trading system was launched,and in 2021,a national unified carbon emission trading market will be launched.Strive to achieve the goal of carbon neutrality by 2060 to show China’s determination to follow the path of green,low-carbon and high-quality development.As regional carbon markets in China become more active in trading,data available for research will increase.Secondly,as the carbon market itself is closely related to the energy market and the nature of China’s carbon market in resource allocation becomes increasingly prominent,there is a certain connection between the carbon market and the stock market,which has the function of asset allocation.In the background on our carbon market in China,the traditional energy market and energy through the research of the spillover effect of the stock market to explore any market in a major position in the price of information transmission,this to the continuous construction of the market and related policy making,as well as the control line of enterprise transformation,investors,investment planning and the achievement of targets is important in our country.This article first to the carbon market,the traditional energy market and energy spillover effect between stock market and the different market price mechanism and transmission mechanism are analyzed,and then compare the longitudinal(phases)and transverse comparison(energy stock market can be divided into traditional energy and new energy)stock market stock market analysis of the carbon market,the combination of traditional energy market and energy between the stock market mean spillover effect and volatility spillover effect.On this basis,the paper selects the average daily transaction price of carbon quota in Beijing,Shanghai,Guangdong and Hubei,which have good representation and the combined trading volume and trading volume account for 78% and 80% of the total,respectively,and generates the daily weighted average price,which represents the carbon price in China’s carbon market.The bohai sea thermal coal price index,known as the "coal price vane",represents the price of traditional energy.In the energy stock market,the closing price of CSI Energy Index(000928)is taken as the stock price of traditional energy companies,and the closing price of CSI Mainland New Energy Theme Index(000941)is taken as the stock price of new energy companies.Since coal prices are weekly data,carbon prices,stock prices of traditional energy companies and stock prices of new energy companies are all processed as weekly data.The overall time span of all variables is April 2,2014 solstice and December 31,2020.According to the characteristics of China’s carbon market,the obtained variables are divided into "pre-start"(April 2,2014 solstice December 18,2017),"post-start"(December 19,2017 solstice December 31,2020),and "full sample" phase(April 2,2014 solstice December 31,2020).Because there are two types of energy in the stock market,respectively,to build two ternary VAR and ternary VAR-BEKK GARCH model,by VAR mean equation and granger causality test on different stages of the carbon market,the traditional energy market and energy market,the mean spillover effect inspection by VAR-BEKK GARCH variance equation and Wald test on different stages of the carbon market,traditional energy market and energy stocks market volatility spillover effect inspection.The results are mainly divided into two parts.From the perspective of mean spillover effect,one-way mean spillover effect of carbon market on traditional energy market is shown in each stage,and there is no mean spillover effect between carbon market and the two types of energy stock market.After the "startup",the one-way mean spillover effect of traditional energy market to traditional energy stock market and the two-way mean spillover effect between traditional energy market and new energy stock market are added.This shows that from the perspective of mean spillover,the carbon market is the sender of information in the information transmission,mainly guiding the changes of the traditional energy market.After the "start-up",the traditional energy market will further influence the stock markets of the two types of energy companies.From the volatility spillover effect,whether it’s "start" or "sample" all phases,are characterized by traditional energy markets one-way volatility spillover effects of the carbon market,the traditional energy market for two types of energy in the stock market volatility spillover effects in one direction,new energy of unidirectional carbon market stock market volatility spillover effects,"before the start of" there is no traditional energy of unidirectional carbon market stock market volatility spillover effect;After the "start",the carbon market and the traditional energy market for bidirectional volatility spillover effect between the carbon market and the traditional energy stock market for traditional energy between the stock market of unidirectional carbon market volatility spillover effect,the carbon market with new energy for bidirectional volatility spillover effect between the stock market,but the traditional energy market and traditional energy without the volatility spillover effect between the stock market,with new energy and traditional energy markets existed bidirectional volatility spillover effect between the stock market.This shows that the volatility spillover effect,the traditional energy market in the information and risk transfer in a dominant position,and as the construction of a unified our country carbon emissions trading market and the development of the market,the carbon market to the traditional energy market and the stock market in one direction of new energy spillover effect is significant,it is worth noting that the new energy to the traditional stock market energy markets also have one-way volatility spillover effect.Generally speaking,the test results of mean spillover effect and volatility spillover effect are not exactly the same.Only by combining mean spillover effect and volatility spillover effect can the spillover relationship between different markets be studied in a more comprehensive and thorough way.Based on the above empirical research results,this paper puts forward corresponding policy suggestions for policy makers,emission control companies,energy stock companies and investors respectively for reference.For policy makers,in the construction of a national unified carbon emission trading market,they should formulate a more reasonable scheme for the initial issuance of carbon emission quotas,speed up the adjustment of energy structure,and increase the policy and financial support for new energy enterprises.Emission control enterprises should actively reduce emissions by using new energy and new energy technology and equipment on the premise of maintaining or increasing output.Traditional energy stock companies should speed up the transformation to new energy stock companies,new energy stock companies should further strengthen the research and development of new energy and new energy technology equipment;All kinds of investors in the market should pay close attention to the spillover relationship between China’s carbon market,traditional energy market and energy stock market,as well as relevant policies,and make rational investment to avoid unnecessary losses.