Research On Risk Spillover Effects Of Carbon Market And Stock Market

The carbon emission rights trading market is the “Kyoto Protocol” to promote the global reduction of greenhouse gas emissions and establishes a market with carbon dioxide emission rights as the main trading target.The trading market intends to use market mechanisms to improve the allocation of funds and resources in the process of low-carbon development..Since 2011,China has gradually established carbon trading pilot areas with reference to this market mechanism.It has become the world’s largest carbon emissions trading system and will formally complete the establishment of a national carbon emissions trading market at the end of June 2021.With the gradual improvement and maturity of China’s carbon trading system,the financial attributes of the carbon market have continued to increase.As part of the financial market,the risk spillover between the stock market has also attracted more attention.Therefore,the risk spillover between the carbon market and the stock market has also attracted more attention.The study of effects also reflects a certain theoretical and practical significance.This article firstly discusses the commodity attributes and financial attributes in the development status of the carbon trading market,and discusses the risk spillover mechanism between the carbon trading market and the stock market,laying the foundation for the following empirical research.Secondly,select Hubei and Guangdong carbon pilot areas as the carbon trading market representatives,and the CNI Index of Power and CNI Index of Chemical as the stock market representatives of participating industries in the carbon trading market.Based on the four sequences of transactions from January 2015 to December 2020 Data,construct a time-varying Copula model describing the carbon trading market and stock market,and measure the risk spillover effect.Finally,on the basis of empirical analysis,it reveals the dynamic dependence of the carbon market and the stock market of related industries and the characteristics of risk spillover effects.The following conclusions were drawn during the research process:(1)The dynamic dependence between the power and chemical stock markets and the Hubei and Guangdong carbon markets is mainly manifested in the bottom-end dependence,and the power stock market and the Hubei and Guangdong carbon markets The dynamic dependence between them is more significant;(2)The unconditional value at risk of the electric power and chemical stock markets are in most cases smaller than the Hubei and Guangdong carbon trading markets,and the unconditional value at risk of the Hubei carbon market is smaller than that of the Guangdong carbon market.(3)In terms of risk spillover effects,in view of the strong bottomtail dependence between the markets,the upward risk spillover effect is not outstanding.Further,in the downward risk spillover effect,the power stock market has a negative impact on Guangdong carbon.The trading market exhibited the largest average risk spillover effect during the sample period.According to the conclusions of the study,it is believed that the development of the carbon trading market can be promoted from the leading role of related companies,considering the risks of carbon trading mechanism design,the improvement of carbon financial derivative products,and the establishment of carbon financial risk identification mechanisms.