| Climate change problems such as air pollution,rising temperature and declining air quality have attracted the attention of all countries for a long time.Among the causes of these problems,various human pollution behaviors(such as automobile exhaust)have the most significant impact.Today,air pollution and global warming are no longer just scientific research issues,but major international issues related to the sustainable and healthy development of all of us.As a developing country,China will produce a lot of greenhouse gases if it continues to develop rapidly.Therefore,China is facing a strong pressure to reduce emissions of gases such as carbon dioxide.In 2011,the general office of the national development and Reform Commission proposed to establish carbon pilot markets in Beijing,Tianjin,Shanghai,Chongqing,Hubei,Guangdong and Shenzhen,which was officially approved.It will try out carbon emission trading,which is an important step in establishing a carbon emission trading mechanism.At present,China’s carbon emission trading market is in the transitional period between the trial period and the formal establishment of a national carbon emission trading market.In this context,this paper studies the correlation between China’s carbon trading market and capital market,in order to identify the degree of development of carbon market and provide guidance for carbon market policy makers and financial market participants,and through the study of the degree of development of different carbon markets,in order to help China establish a national carbon trading market as soon as possible.Based on the relevant policies and theoretical models of carbon market,this paper studies the spillover effect between China’s carbon market and capital market.On the basis of carding the relevant theoretical concepts of carbon emission trading and analyzing the development trend of China’s carbon market and capital market,five carbon markets,three domestic stock market indexes,two international stock indexes and two currencies are selected.The analysis focuses on the following contents:first,the analysis puts forward the analysis of the impact path between China’s carbon market and different capital markets;second,the impact path between China’s carbon market and different capital markets Secondly,the Granger causality between carbon market and capital market is tested based on VAR model.After the static Granger causality,the dynamic Granger causality between carbon market and capital market is studied,and the time-varying causality is analyzed.Then the mean spillover effect between the two markets is measured to determine the spillover direction.Thirdly,the GARCH family model is used to test the carbon market and capital market This paper constructs GARCH(1,1)model,bekk-garch(1,1)model and dcc-garch(1,1)model to measure the volatility spillover between the two markets statically and dynamically to determine the spillover intensity.Finally,considering that the capital market has a more significant impact on the carbon market,this paper uses quantile regression model to study different carbon markets from five carbon pilot markets The impact of capital market indicators on carbon market in different quantiles.The results are as follows:firstly,the relationship between carbon market and stock market is mainly influenced by the internalization of external environment,investor behavior and government policy,while the relationship between carbon market and foreign exchange market is influenced by currency trading and import and export trade;secondly,as far as the mean spillover between carbon market and capital market is concerned,on the one hand,there is a static Granger model The results of Granger causality test show that Hubei carbon price and RMB/US dollar spot exchange rate are causality.The causality between Beijing carbon market and Shanghai carbon market and domestic stock market is significant.The causality between Guangdong carbon market and international stock market is significant.On the other hand,in terms of dynamic Granger causality,Hubei carbon price and Beijing carbon price are causality with RMB/US dollar spot exchange rate Exchange rate causality is significant,Shanghai carbon price and FTSE 100 index causality is significant,Guangdong carbon price and Shenzhen carbon price and RMB euro exchange rate causality is significant,and the market causality is significant,often occurs in the period of price volatility,such as the stock market crash in 2015 and the epidemic situation in 2020;third,as for the volatility spillover between carbon market and capital market,through the GARCH model On this basis,the study finds that the static volatility spillover between the markets is more obvious:Hubei carbon price and S&P 500 index have two-way volatility spillover;Beijing carbon price and the U.K.FTSE 100 index and U.S.dollar exchange rate have two-way volatility spillover;Shanghai carbon price has two-way volatility spillover There are two-way volatility spillovers between carbon price and energy industry stock price and US dollar exchange rate,two-way volatility spillovers between Guangdong carbon price and euro exchange rate,two-way volatility spillovers between Shenzhen carbon price and power industry stock index,and the results of dynamic volatility spillovers measurement show that Hubei carbon price and energy industry stock index,FTSE 100 index and US dollar exchange rate spillovers are more significant,while Beijing carbon price and electricity industry stock index are more significant The spillover effect of electricity stock index is significant,the spillover effect of Shanghai carbon price and Shanghai Composite Index,electricity index and US dollar exchange rate is significant,the spillover effect of Guangdong carbon price and electricity stock index,FTSE 100 index and US dollar exchange rate is more significant,and the spillover effect of Shenzhen carbon price and Shanghai Composite Index,energy stock index,electricity index and euro exchange rate is more significant It is found that the carbon price in Hubei is negatively affected by energy stock index,euro exchange rate and US dollar exchange rate respectively in different quantiles(from low to high).The carbon price in Beijing is positively affected by US dollar exchange rate and negatively affected by electricity stock index respectively in different quantiles.The carbon price in Shanghai is negatively affected by US dollar exchange rate respectively in different quantiles The positive impact of exchange rate and the negative impact of FTSE 100 index are greater.The negative impact of energy stock index and US dollar exchange rate on Guangdong’s carbon price is greater in different quantiles.The positive impact of FTSE 100 index and euro exchange rate on Shenzhen’s carbon price is greater in different quantiles.To sum up,different regions of China’s carbon market show differentiated development,and the degree of correlation with the capital market is also different.But on the whole,China’s carbon market is more perfect in Hubei carbon market,Beijing carbon market and Shanghai carbon market,and the carbon market as a whole has the most obvious spillover effect with the domestic stock market,followed by the foreign exchange market and the international stock market The system is weak. |
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