文献类型：期刊文献

英文题名：Dynamic lead-lag relationship between Chinese carbon emission trading and stock markets under exogenous shocks

作者：Chen, Zhang-HangJian[1,4];Ren, Fei[2];Yang, Ming-Yuan[3];Lu, Feng-Zhi[1,4];Li, Sai-Ping[5,6]

机构：[1]Anhui Univ, Sch Econ, 111 Jiulong Rd,POB 115, Hefei 230601, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]Henan Univ Sci & Technol, Sch Management, Luoyang 471003, Peoples R China;[4]Anhui Univ, Res Ctr Financial & Stat, Hefei 230601, Peoples R China;[5]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[6]Hong Kong Univ Sci & Technol, Dept Phys, Kowloon, Hong Kong, Peoples R China

年份：2023

卷号：85

起止页码：295

外文期刊名：INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

收录：;WOS:【SSCI(收录号:WOS:000968208700001)】；

基金：This work was partially supported by the Humanities and Social Sciences Fund sponsored by the Education Department of Anhui province (No. SK2021A0032) , and the National Natural Science Foundation (Nos. 72201003 and 71871094) .

语种：英文

外文关键词：Carbon emission trading market; Stock market; Lead-lag relationship; Exogenous shocks; Thermal optimal path

摘要：Using the non-parametric thermal optimal path method, we investigate the dynamic lead-lag relationship between carbon emission trading and stock markets in China, and further consider the impact of different types of exogenous shocks on the lead-lag relationship. The empirical results show that the stock market leads the carbon market on most trading days, and the relationship reverses when the mean values of carbon market return are significantly smaller than zero. In addition, the lead-lag relationships when the carbon market leads the high energy -consuming stock market sectors are more obvious. We also find that there exist significant heterogeneous effects of different types of exogenous shocks on the lead-lag relationship between the two markets, including government policy, the Sino-US trade war and the Covid-19 outbreak. These findings have the potential to help regulators understand the interrelationship between components of the financial market, and be of great value for investors to optimize portfolio allocation by incorporating carbon assets into the portfolio.