Risk Spillover Between China's Carbon Market and Crude Oil Futures Market
Author Information
Author(s): Bai XueRong, Chen Yan, Yang Fan
Primary Institution: Nanjing Forestry University
Hypothesis
Is there a significant risk spillover effect between China's national carbon emissions trading market and the crude oil futures market?
Conclusion
The study finds significant positive correlations and risk spillover effects between the carbon market and the crude oil futures market, particularly in the short to medium term.
Supporting Evidence
- The carbon market and crude oil futures market show significant positive correlations at D1 to D4 scales.
- Volatility spillover effects are observed, particularly during periods of high geopolitical risk.
- Short-term fluctuations in both markets are frequent, while long-term trends are influenced by fundamental factors.
Takeaway
This study looks at how changes in China's carbon market can affect crude oil prices and vice versa, showing that they are closely linked.
Methodology
The study uses the Maximal Overlap Discrete Wavelet Transform (MODWT) to analyze risk spillover effects across different time scales.
Limitations
The relatively short duration of data from China's carbon market limits the comprehensiveness of the analysis.
Statistical Information
P-Value
0.00
Confidence Interval
95%
Statistical Significance
p<0.05
Digital Object Identifier (DOI)
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