Research On Information Spillover Effects Between Carbon Market And Security Market

Carbon emissions trading,as a policy tool to limit greenhouse gas emissions through market mechanisms,has been recognized by many countries and regions.However,like other financial markets,the carbon market can be affected by a variety of factors,including macroeconomic conditions,political situations,climate environment,energy prices,and investor behavior,especially during major crisis events that can lead to contagion risks between markets.At present,there is extensive literature on the study of the risk contagion between carbon markets and energy markets.Research on the spillover effects between carbon markets and security markets mainly focuses on the EU carbon market,while domestic research tends to start with theoretical foundations to explore the factors and m echanisms.that affect market operations.There is relatively little empirical analysis to elucidate the degree of spillover between carbon markets and security markets,and there is a lack of corresponding risk response strategies.Therefore,this paper studies the spillover effects between carbon spot prices and related assets in the "carbon market and security market" system from a financial perspective.Guangdong and Hubei carbon pilot projects are selected as representatives of the carbon market,and the China Stock Indexes for electricity,chemicals,and steel are selected as representatives of the stock market,with the ChinaBond Total Wealth Index(representing the traditional bond market)and the ChinaBond Green Bond Total Wealth Index(representing the green bond market)as representatives of the bond market.Using the Diebold-Yilmaz spillover index and the vine Copula function,the paper explores the spillover effects of the carbon market and security market’s return rates,volatility,and tail risk spillover from both the overall trend and extreme trend perspectives,thus identifying the associated markets that have a greater impact on input risk to Guangdong and Hubei carbon markets under different circumstances.Finally,the paper provides countermeasures and suggestions for enterprise and individual investors,policy makers,and market regulators to prevent spillover effects between markets.The results show that,first,although the spillover effects between carbon spot prices and related assets are weak at static time points,Guangdong and Hubei carbon markets are net receivers of spillover effects in terms of return rates and volatility spillover.Among them,the linkage between Hubei carbon market and security market is more closely,and the steel stock market is the largest information net transmission source within the system.In the dynamic time domain,the spillover effects between the carbon market and security market exhibit heterogeneous dependence structures.The traditional bond and green bond markets are the most active information net transmission sources in the system,followed by the steel and chemical stock markets.Second,when measuring the spillover effects of extreme trends,it is found that the tail risk spillover effects of the "carbon market and security market" system in 2020-2022 are stronger than those in 2018-2019,indicating that the complex situation of the epidemic has a greater impact on the changes in tail relationships.The downside dependence between Guangdong carbon market and chemical stock market is greater,and Hubei carbon market is more prone to upper tail volatility.In addition,after China proposed its dual carbon goals,the tail dependence between the electricity stock market and the two carbon markets has increased.This paper makes recommendations at the level of both the investment body and market regulation:the investment body needs to build a diversified portfolio according to the changes in information spillover effects;the market regulator needs to strengthen the consistency and coherence between the regulation of the carbon market and the securities market,and guard against the escalation of carbon financial risk contagion.