Study On The Volatility Spillover Effect Among Carbon Market,Stock Market And Crude Oil Futures Market

Since the end of the 20th century,the world’s major countries signed the Kyoto Protocol to deal with climate problems,the carbon emission market has been born.Our country has successively built seven carbon markets since 2013.With the steady operation of each carbon market,the resource allocation property is increasingly obvious,as a new financial market has become an important choice for investors to disperse risk.Fossil energy consumption,represented by crude oil,is one of the main factors causing carbon emissions.Under the market-oriented emission reduction system,carbon emission right,as a complementary product of crude oil,makes a natural information transmission mechanism exist between carbon market and crude oil market.In addition,carbon emission rights and crude oil are both important costs of enterprise production,and their price fluctuations will have a significant impact on enterprise profits and even the real economy.Therefore,there is an objective volatility spillover relationship between carbon market,stock market and crude oil market.In recent years,the frequent occurrence of extreme weather,continuous international geopolitical conflicts and the global outbreak of the novel coronavirus(COVID-19)have led to the surge and rapid transmission of extreme risks in various markets,which may eventually lead to a systemic financial crisis.Based on the above background,the carbon market,the stock market and the crude oil futures market are included in the same analytical framework to study the impact of the outbreak of special events such as the novel coronavirus outbreak on the volatility spillover effect among the three markets,and further clarify the impact of domestic and foreign financial markets on the carbon market,which is conducive to improving the risk prevention mechanism of the carbon market.This paper studies the volatility spillover effect among carbon market,stock market and crude oil futures market from the perspective of vector.The average transaction price of Guangdong carbon market,Hubei carbon market and Shenzhen carbon market,which are the top three in terms of domestic historical turnover and price value,is selected as the proxy variable of Chinese carbon market.Secondly,the CSI 300 index is selected as the proxy variable of Chinese stock market and the settlement price of WTI crude oil futures is selected as the proxy variable of international crude oil futures market.The total time span was from March 3,2015 to November 4,2022,with a total of 1,471 data,and the outbreak time of December 31,2019 as the interval point.Granger causality test and Vine Copula model were used to investigate the direction and intensity of volatility spillover between carbon market,stock market and crude oil futures market before and after the outbreak of COVID-19.The main conclusions are as follows:(1)A descriptive analysis of the three domestic carbon markets(Guangdong carbon market,Hubei carbon market and Shenzhen carbon market),the domestic stock market and the international crude oil futures market before and after the epidemic found that all series of returns passed the stability test,and all showed the characteristics of "peak fat tail",not obeying normal distribution,and volatility aggregation.(2)Granger causality test was used to test the spillover directions among markets,and it was found that the spillover directions of volatility between markets changed significantly before and after the pandemic.1)Before the epidemic,two-way volatility spillovers existed between the stock market and crude oil futures market,Hubei carbon market and Shenzhen carbon market.The crude oil futures market spills into Hubei carbon market and Shenzhen carbon market.The stock market has one-way spillover into the Guangdong carbon market;Hubei carbon market flows one-way to Shenzhen carbon market,Shenzhen carbon market flows one-way to Guangdong carbon market,and Guangdong carbon market flows one-way to Hubei carbon market.2)After the epidemic,two-way spillovers existed only between the Shenzhen stock market and the crude oil futures market.The Guangdong carbon market spills over into the stock market and crude oil futures market.The stock market and the crude oil futures market spill over to Hubei carbon market and Shenzhen carbon market simultaneously.Hubei carbon market has one-way spillover to Shenzhen carbon market and Guangdong carbon market;The Guangdong carbon market has one-way spillover to the Shenzhen carbon market.(3)The Vine Copula model was used to analyze the volatility spillover intensity between the markets before and after the epidemic.It was found that:1)Under the influence of the epidemic,the correlation between the five markets changed significantly,from D-vine to R-vine,that is,before the epidemic,the five markets were relatively independent of each other,and after the epidemic,the overall correlation increased.2)The price fluctuation of the international crude oil futures market is indirectly transmitted to the domestic carbon market through the stock market,and compared with the international crude oil futures market,the price fluctuation of the Chinese carbon market is more influenced by the domestic stock market and other carbon markets.3)The spillover effect of inter-market volatility was significantly enhanced after the epidemic,and the unconditional and conditional correlation coefficients were generally higher than those before the epidemic.4)Through the fitting results of D-rattan and R-rattan,it can be seen that choosing 3 or more assets from 5 kinds of assets to construct a portfolio can effectively diversify investment risk.Based on the above research conclusions and the current development status of China’s carbon market,relevant suggestions have been put forward for government departments and investors in China.