碳交易市场、能源市场与低碳股票市场的风险溢出效应——基于联合溢出指数模型的实证研究  

The Spillover of Carbon Trading Market,Energy Market and Low Carbon Stock Market--An Empirical Study Based on the Joint Spillover Index Model

作　　者：龚振庭 陈妍蓓 GONG Zhenting;CHEN Yanbei(Zhanjiang Preschool Education College,Zhanjiang 524037,China;Basic Education College,Lingnan Normal University,Zhanjiang 524000,China)

机构地区：[1]湛江幼儿师范专科学校,广东湛江524037 [2]岭南师范学院基础教育学院,广东湛江524000

出　　处：《新疆财经》2023年第5期16-28,共13页Finance & Economics of Xinjiang

基　　金：广东省湛江市哲学社会科学规划青年项目“湛江‘大文旅’产业融合发展路径研究”(ZJ22QN02)。

摘　　要：随着全国统一的碳交易市场建设步伐的逐步加快,科学衡量不同市场之间的风险溢出效应对于有效应对复杂多变的市场情况尤为重要。文章运用联合溢出指数模型,实证发现碳交易市场、能源市场与低碳股票市场之间存在风险溢出效应,且不同市场间的方向性溢出效应和净溢出效应存在明显的时变特征;相较于我国,欧盟碳交易市场的抗风险能力更强。对此,应建立碳交易市场、能源市场与低碳股票市场之间的风险预警机制,完善我国碳交易市场的政策体系和相关金融机构的信息披露机制,从而有效防范跨市场间的金融风险。With the gradual acceleration of the construction of a unified carbon trading market across China,scientifically measuring the risk spillover effects between different markets is particularly important for effectively responding to complex and ever-changing market conditions.The paper uses a joint spillover index model to empirically find that there is a risk spillover effect between the carbon trading market,energy market,and low-carbon stock market,and the directional spillover effect and net spillover effect between different markets have obvious time-varying characteristics.Compared with China,the EU carbon trading market has a stronger ability to resist risks.In this regard,a risk warning mechanism should be established between the carbon trading market,energy market,and low-carbon stock market,and the policy system construction of China’s carbon trading market and the information disclosure mechanism of relevant financial institutions should be improved to effectively prevent cross market financial risks.

关 键 词：碳交易市场 能源市场 中国低碳指数 联合溢出效应 

分 类 号：F832[经济管理—金融学]