Global Transmission of Returns among Financial, Traditional Energy, Renewable Energy and Carbon Markets: New Evidence

文献类型： 外文期刊

第一作者： Liu, Yang

作者： Liu, Yang;Wang, Mei;Yang, Xueqing;Yang, Xueqing

作者机构：

关键词： renewable energy market; European carbon allowance; capital market; energy market; return transmission; market connection

期刊名称：ENERGIES （ 影响因子：3.004； 五年影响因子：3.085 ）

ISSN：

年卷期： 2021 年 14 卷 21 期

页码：

收录情况： SCI

摘要： Connections to world markets facilitate local markets developments to support more efficient capital allocation and greater investment and growth opportunities. Under the framework of cross-market rebalancing theory, in this study, we aim to systematically examine the market connections among world financial, energy, renewable energy and European carbon markets by measuring the return spillovers from 2008 to 2021. We find that the renewable energy market is more closely connected to the world financial and energy markets in the sense of the return transmission, while the carbon market is less connected to them. However, due to improved market regulations and determinations related to fighting climate change, the connections between the carbon market and other markets have gradually intensified. Plotting the return spillover indexes, we observe that strong return spillovers from the renewable energy market to other markets occurred when large investment plans were announced. Regarding the carbon market, regulation changes introduced by the EU Commission to improve and stabilize market environment induced intensified return transmission from carbon market to other markets. Another interesting finding is that the highly intensified return transmission among markets due to the COVID-19 crisis started to loosen when COVAX published the first interim distribution forecast on 3 February 2021.

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