Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches

Razzaq Asif; Sharif Arshian; An HuiAloui Chaker

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Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches

机译：Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches

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摘要

Carbon trading is a market-based instrument to regulate industrial carbon footprints that affects other financial markets. The preliminary test of this study reveals that a wide variety of nonlinearities exist in carbon trading and stock market data, indicating that an investigation of asymmetric behavior is imperative to explore the complex relationship. This study applies cross-quantilogram, and rolling window causality approaches to investigate the asymmetric dependence structure and directional predictability from the carbon trading market to the stock market in China from aggregate and sectoral perspectives. The overall results confirm negative (positive) directional predictability from carbon trading price (CTP) to stock market prices in bull (bear) market conditions. Nevertheless, the dependence structure between variables varies substantially across sectors, with technology, industrial, financial, utility, and material sectors responding more strongly at higher quantiles. The results imply that lower CTP (bear markets) encourage firms' production, revenue, and stock prices, whereas higher CTP (bull markets) lead to higher production costs, generating lower output, lower profitability, and, finally, a reduction in stock prices. The results also reveal that any change in CTP distinctly affects stock market indices and the magnitude and direction of causality changes across lag structures. These findings suggest that carbon trading and stock markets are well integrated and require an inclusive policy design to promote sus-tainable growth.

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来源
《Technological forecasting and social change》 |2022年第9期|1-16|共16页
作者
Razzaq Asif; Sharif Arshian; An HuiAloui Chaker;
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作者单位

Dalian Univ Technol||ILMA Univ;

Sunway Univ||Super Univ;

Dalian Univ TechnolPrince Sultan Univ;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种英语
中图分类
关键词
Sectorindices; Carbonemissionstradingmarket; Rollingwindow; Cross-quantilogram; ChinapilotETS; Climatechange;

Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches

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