4.7 Article

Extreme event shocks and dynamic volatility interactions: The stock, commodity, and carbon markets in China

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Business, Finance

What drive carbon price dynamics in China?

Fenghua Wen et al.

Summary: This study systematically examines the driving factors of China's carbon price using quantitative analysis, finding that macroeconomic risks, energy, and environmental factors all influence carbon price fluctuations. Market sentiment plays a key role in the Guangdong carbon market, while the electric power index has significant effects on changes in Hubei carbon prices, and air quality situations largely drive carbon price fluctuations in the Shenzhen market.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2022)

Article Business, Finance

Risk-return relationship and structural breaks: Evidence from China carbon market

Lili Zhao et al.

Summary: This study investigates the risk-return relationship of China carbon market by analyzing risk compensation coefficients and structural breaks. The findings reveal that risk compensation coefficients are time varying and heterogeneously influenced by various factors, while structural breaks significantly affect and make asymmetry effects to the risk-return relationship.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2022)

Article Business, Finance

Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets

Fenghua Wen et al.

Summary: The study reveals a highly dependent relationship between the Chinese stock market and commodity markets, where non-ferrous metals and the chemical industry have a significant impact on stock market volatility. The degree of total volatility spillover varies in different periods, with an increase in volatility correlation between markets after major crisis events. Since the outbreak of COVID-19, the spillover effect of the stock market on commodity markets has been significantly enhanced.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2021)

Article Business, Finance

A network perspective of comovement and structural change: Evidence from the Chinese stock market

Chuangxia Huang et al.

Summary: This paper uses a complex network approach to study the interrelationships between individual stocks in the Chinese stock market, revealing the long-term investment value of stocks, driving factors, and the impact factors of the comovement structure. It is worth noting that the relationships between these influencing factors may change during crisis periods.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2021)

Article Thermodynamics

Ef fi ciency of China ? s carbon market: A case study of Hubei pilot market

Yingqi Chen et al.

Summary: This study examines the market efficiency of the Hubei pilot carbon market and finds a significant increase in market efficiency post-COVID-19. The findings provide important insights for analyzing the impact of the pandemic on the industrial sector.

ENERGY (2021)

Article Business, Finance

Impact of COVID-19 on energy prices and main macroeconomic indicators-evidence from China's energy market

Yilin Wu et al.

Summary: This study investigated the impact of COVID-19 on China's energy prices, suggesting constructive suggestions on stabilizing energy prices and recovering economic development based on modeling analysis results.

GREEN FINANCE (2021)

Article Economics

Asymmetric effects of oil shocks on carbon allowance price: Evidence from China

Yan Zheng et al.

Summary: The study reveals a long-term asymmetric effect of oil shocks on carbon allowance prices, mainly driven by oil supply shocks. After the establishment of a unified carbon market, the main factors influencing carbon allowance prices have shifted from oil demand shocks to oil supply shocks.

ENERGY ECONOMICS (2021)

Article Business, Finance

Paradigm shift in the concept of corporate social responsibility: COVID-19

Valentinas Navickas et al.

Summary: The concept of CSR has evolved from philanthropic actions to various social, economic, and environmental activities interacting with stakeholders. Companies worldwide are implementing CSR activities in response to COVID-19, regardless of their level of development. The main goal of CSR remains consistent - to contribute to public safety and well-being, even during crisis periods.

GREEN FINANCE (2021)

Article Business, Finance

Information efficiency research of China's carbon markets

Jian Liu et al.

Summary: The study suggests that the highest information efficiency in China's carbon markets is observed in the Hubei market, while the EU carbon market is more informationally efficient than China's markets. Furthermore, certain pairs of China's carbon markets exhibit highly correlated information efficiency levels.

FINANCE RESEARCH LETTERS (2021)

Review Business, Finance

Review on international comparison of carbon financial market

Jieqiong Yang et al.

GREEN FINANCE (2020)

Article Social Sciences, Interdisciplinary

The effects of the China-US trade war during 2018-2019 on the Chinese economy: an initial assessment

Kerry Liu

ECONOMIC AND POLITICAL STUDIES-EPS (2020)

Article Social Sciences, Interdisciplinary

The impact of COVID-19 on stock markets

Qing He et al.

ECONOMIC AND POLITICAL STUDIES-EPS (2020)

Article Business, Finance

The financialization of Chinese commodity markets

Baochen Yang et al.

FINANCE RESEARCH LETTERS (2020)

Article Business, Finance

Crude oil price shocks, monetary policy, and China's economy

Fenghua Wen et al.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2019)

Article Business, Finance

Financing of the global shift to renewable energy and energy efficiency

Yoram Krozer

GREEN FINANCE (2019)

Article Business, Finance

Stock Volatility during the Recent Financial Crisis

G. William Schwert

EUROPEAN FINANCIAL MANAGEMENT (2011)

Article Economics

Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Jouchi Nakajima et al.

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES (2011)

Article Economics

Time varying structural vector autoregressions and monetary policy

GE Primiceri

REVIEW OF ECONOMIC STUDIES (2005)