| 戴剑勇,管敏.碳交易市场、能源市场以及股票市场之间的相依结构及风险溢出[J].,2026,(2):29-38 |
| 碳交易市场、能源市场以及股票市场之间的相依结构及风险溢出 |
| Dependence Structure and Risk Spillovers Between Carbon Trading Markets,Energy Markets, and Stock Markets |
| 投稿时间：2025-01-09 |
| DOI： |
| 中文关键词: 相依结构 风险溢出 Copula模型 风险传染 |
| English Keywords:dependence structure risk spillover Copula model risk contagion ( |
| Fund Project: |
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| 中文摘要: |
| 文章基于skew-t-GARCH(1,1)-Copula-CoVaR模型对湖北碳配额日收盘价、石油、天然气与供消费用燃料指数日收盘价、国证新能源指数日收盘价以及中证全指指数日收盘价之间的相依关系进行研究,得到相应的相依关系和风险溢出。实证结果表明:我国碳交易市场与能源市场以及碳交易市场与股票市场之间存在负向的相依关系,市场之间存在负的风险溢出；股票市场与能源市场之间存在正向相依关系,有着正的风险溢出。 |
| English Summary: |
| As the three indispensable markets in the modern economy, the carbon trading market, the energy market and the stock market play an important role in economic activities. Based on the skew-t-GARCH(1,1)-Copula-CoVaR model, this paper studies the dependence between the daily closing price of Hubei carbon allowance, oil, natural gas, fuel for consumption, the Guozheng New Energy Index and the CSI All-Share Index, and obtains the corresponding dependencies and risk spillovers. The empirical results show that there is a negative dependence between China's carbon trading market and the energy market, as well as between the carbon trading market and the stock market, and there is a negative risk spillover between the markets. There is a positive dependence between the stock market and the energy market, along with positive risk spillovers. |
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