Research on the Volatility Spillover Effects among Carbon Market, Energy Market, and Stock Market
DOI:
https://doi.org/10.54097/821q0y34Keywords:
Volatility spillover, Asymmetry, VP-VAR-DY modelAbstract
With the advancement of China’s "dual carbon" goals and the operation of the national carbon market, the linkages among the carbon market, energy market, and stock market have become increasingly close. Based on the TVP-VAR-DY model, this paper investigates the characteristics and asymmetry of volatility spillovers among these three markets from both static and dynamic perspectives. The findings reveal significant and time-varying volatility spillover effects among the three markets, with asymmetry observed in both static and dynamic contexts. Major external events significantly enhance cross-market volatility spillovers and amplify this asymmetry. This study provides theoretical and empirical support for understanding volatility spillovers among the carbon, energy, and stock markets, offering insights for investor asset allocation and financial regulation.
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