Asymmetric relationship between carbon emission trading market and stock market: Evidences from China |
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| Affiliation: | 1. School of Finance, Zhongnan University of Economics and Law, 182# Nanhu Avenue, East Lake High-tech Development Zone, Wuhan, 430-073, PR China;2. College of Economics, Shenzhen University, 3688 Nanhai Avenue, Nanshan District, Shenzhen, Guangdong, 518060, PR China;1. Business School, Shandong Normal University, Jinan, Shandong, 250014, China;2. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;3. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;4. School of Business Administration, ZhongNan University of Economics and Law, Wuhan 430073, China;1. School of Economics and Management, China University of Geosciences, Wuhan, 430074, China;2. College of Economics and Management, Shandong University of Science and Technology, Qingdao, 266590, China;3. School of Public Economics and Administration, Shanghai University of Finance and Economics, Shanghai, 200433, China;4. School of Economics and Management, Dalian University of Technology, Dalian, 116024, China;1. School of Economics and Management, China University of Geosciences, Beijing, 100083, China;2. Key Laboratory of Carrying Capacity Assessment for Resource and Environment, Ministry of Natural Resources, Beijing, 100083, China;1. School of Accounting and Finance, University of Vaasa, Finland;2. Holy Spirit University of Kaslik, Lebanon;3. American International University-Bangladesh, Bangladesh |
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| Abstract: | This paper has investigated the asymmetric relationship between carbon emission trading market and stock market in China by using the nonlinear auto-regressive distributed lag (NARDL) model. Based on our investigation on both of the overall and sector level of stock market, we have obtained interesting and convincing empirical results that show there are significantly negative long-run and short-run asymmetric relationships between carbon emission trading market and overall stock market in China. Specifically, we have noticed that while passing the effects from the former to the later, the increasing of carbon emission trading price would make greater effects on the stock price than its decreasing. Also, on the sector level, carbon emission trading price is significantly related to some energy intense sectors and financial sector stock market. Furthermore, we have surprisingly found out that there are no significant effects passing from stock index to carbon emission trading price in China, neither on the overall level nor on the sector level of stock market. |
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