碳市场与股票市场间的崩盘风险溢出效应研究:新冠疫情、投资者情绪与经济政策不确定性  

A study on the spillover effect of crash risk between carbon and stock markets:COVID-19,investor sentiment and economic policy uncertainty

作　　者：刘志峰 张子汸 戴鹏飞 刘文华[3] LIU Zhifeng;ZHANG Zipang;DAI Pengfei;LIU Wenhua(Management School,Hainan University,Haikou 570228,China;School of Business,East China University of Science and Technology,Shanghai 200237,China;Business School,Hunan Institute of Technology,Hengyang 421002,China)

机构地区：[1]海南大学管理学院,海口570228 [2]华东理工大学商学院,上海200237 [3]湖南工学院商学院,衡阳421002

出　　处：《系统工程理论与实践》2023年第3期740-754,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72171063,72201099,71861008);海南省基础与应用基础研究计划(自然科学领域)高层次人才项目(2019RC151)。

摘　　要：本文基于GARCH-S模型以及时变溢出指数模型,研究了中国碳市场和股票市场行业间的崩盘风险溢出效应及其影响因素.我们的实证结果发现:1)碳市场和行业股票的崩盘风险之间存在双向溢出效应,且行业股票对碳市场的溢出效应更大;2)崩盘风险溢出和波动风险溢出的程度是大体相当的;3)新冠疫情的发生显著提高了上述风险溢出效应的程度;4)崩盘风险溢出受到投资者情绪和经济政策不确定性的显著影响:投资者情绪越低落、经济政策不确定性越高,总的溢出风险也越大;5)分位数回归结果显示投资者情绪和经济政策不确定性的影响在不同分位点处存在异质性.Based on the GARCH-S model and the time-varying spillover index model,this paper studies the spillover effect of crash risk between China’s carbon market and stock market industries and its influential factors.Our empirical results find that:1)There is a two-way spillover effect of crash risk between the carbon market and the industry stocks,and industry stocks have a greater spillover effect on the carbon market;2)The extent of crash risk spillover and volatility risk spillover is roughly the same;3)The occurrence of the COVID-19 epidemic has significantly increased the degree of the crash risk spillover effects;4)The crash risk spillover is significantly affected by investor sentiment and economic policy uncertainty:The lower the investor sentiment or the more uncertain economic policy,the greater the overall spillover risk;5)Quantile regression results show that the influence of investor sentiment and economic policy uncertainty is heterogeneous at different quantiles.

关 键 词：碳市场 股票市场 崩盘风险 偏度 风险溢出 

分 类 号：F832[经济管理—金融学]