Research on the Risk Spillover Effect and Mechanism of China's Carbon Market and Stock Market——From the Perspective of Industry Heterogeneity
This paper systematically studies the risk spillover effect between China's carbon market and stock market and its mechanisms.The results show that:(1)China's carbon market and stock market have a bidirectional risk spillover effect,with higher risk spillover levels in the medium to long term frequency domain scale and four obvious fluctuation pe-riods in the time domain scale.The net pairwise spillover of risk between carbon market and financial real estate industry,carbon market and utility industry are relatively strong.And the net risk spillover effect of major consumer industries to the carbon market is relatively strong.(2)The impact of climate change,economic policy uncertainty,macroeconomic factors,and international carbon market fluctuations on risk spillovers between markets dynamically changes over different time periods.(3)During the launch of the national carbon emission trading system,the initial stage of the COVID-19 and the launch of the national carbon emission trading market,the impact effect dynamically changes with the extension of the lag periods.
carbon marketstock marketrisk spilloversectoral heterogeneitytime-frequency band
NETL
NSTL
万方数据
