The Return and Volatility Spillover Between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets
Author | : Ziran Li |
Publisher | : |
Total Pages | : 10 |
Release | : 2015 |
ISBN-10 | : OCLC:1306531476 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Return and Volatility Spillover Between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets written by Ziran Li and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financialization of carbon market and global economy have made the fluctuation of carbon emission allowance prices vulnerable to international shocks and risk management become more and more complicated for both investors and fossil fuel consumption enterprises. Based on studying the ergodicity of the Granger causality test for different lag-lengths, this paper investigates the return and volatility transmission between carbon futures price and a data set of 19 financial, energy and commodity time series results show that there exists several causal relationships between carbon futures market and financial, energy and commodity futures markets. The connections between carbon futures market and financial markets are especially strong. Despite that spillovers in different phases are different, volatility linkage between carbon futures markets and these markets is closer and stronger than the return linkage in general. Moreover, extreme returns and risks also have significant leading impacts on regular returns and risks.