{"title":"绿色经济股票对碳市场和能源市场重要吗?关联效应和对冲策略的证据","authors":"Yingyue Sun, Yu Wei, Yizhi Wang","doi":"10.1108/cfri-05-2024-0229","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>We phrase our analysis around the connectedness effects and portfolio allocation in the “Carbon-Energy-Green economy” system.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>This paper utilizes the TVP-VAR method provided by Antonakakis <em>et al</em>. (2020) and Chatziantoniou <em>et al</em>. (2021), and portfolio back-testing models, including bivariate portfolios and multivariate portfolios.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>Firstly, the connectedness within the “Carbon-Energy-Green economy” system is strong, and is mainly driven by short-term (weekly) connectedness. Notably, the COVID-19 pandemic leads to a vertical increase in the connectedness of this system. Secondly, in the “Carbon-Energy-Green economy” system, most of the sectors in the green economy stocks tend to be the transmitters of shocks to other markets (particularly the energy efficiency sector), while the carbon and energy markets are always the recipients of shocks from other markets (particularly the crude oil market). Thirdly, Green economy sector stocks have satisfactory hedging effects on the market risk of carbon and energy assets. Interestingly, hedging risks in relatively “dirty” assets requires more green economy stocks than in relatively “clean” assets. Finally, the results indicate that portfolios that include green economy stocks significantly outperform portfolios that do not contain green economy stocks, further demonstrating the crucial role of green economy stocks in this system.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>Understanding the interactions and portfolio allocation in the “Carbon-Energy-Green economy” system, especially identifying the role of the green economy performance in this system, is important for investors and policymakers.</p><!--/ Abstract__block -->","PeriodicalId":44440,"journal":{"name":"China Finance Review International","volume":null,"pages":null},"PeriodicalIF":9.0000,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Do green economy stocks matter for the carbon and energy markets? Evidence of connectedness effects and hedging strategies\",\"authors\":\"Yingyue Sun, Yu Wei, Yizhi Wang\",\"doi\":\"10.1108/cfri-05-2024-0229\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<h3>Purpose</h3>\\n<p>We phrase our analysis around the connectedness effects and portfolio allocation in the “Carbon-Energy-Green economy” system.</p><!--/ Abstract__block -->\\n<h3>Design/methodology/approach</h3>\\n<p>This paper utilizes the TVP-VAR method provided by Antonakakis <em>et al</em>. (2020) and Chatziantoniou <em>et al</em>. (2021), and portfolio back-testing models, including bivariate portfolios and multivariate portfolios.</p><!--/ Abstract__block -->\\n<h3>Findings</h3>\\n<p>Firstly, the connectedness within the “Carbon-Energy-Green economy” system is strong, and is mainly driven by short-term (weekly) connectedness. Notably, the COVID-19 pandemic leads to a vertical increase in the connectedness of this system. Secondly, in the “Carbon-Energy-Green economy” system, most of the sectors in the green economy stocks tend to be the transmitters of shocks to other markets (particularly the energy efficiency sector), while the carbon and energy markets are always the recipients of shocks from other markets (particularly the crude oil market). Thirdly, Green economy sector stocks have satisfactory hedging effects on the market risk of carbon and energy assets. Interestingly, hedging risks in relatively “dirty” assets requires more green economy stocks than in relatively “clean” assets. 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Do green economy stocks matter for the carbon and energy markets? Evidence of connectedness effects and hedging strategies
Purpose
We phrase our analysis around the connectedness effects and portfolio allocation in the “Carbon-Energy-Green economy” system.
Design/methodology/approach
This paper utilizes the TVP-VAR method provided by Antonakakis et al. (2020) and Chatziantoniou et al. (2021), and portfolio back-testing models, including bivariate portfolios and multivariate portfolios.
Findings
Firstly, the connectedness within the “Carbon-Energy-Green economy” system is strong, and is mainly driven by short-term (weekly) connectedness. Notably, the COVID-19 pandemic leads to a vertical increase in the connectedness of this system. Secondly, in the “Carbon-Energy-Green economy” system, most of the sectors in the green economy stocks tend to be the transmitters of shocks to other markets (particularly the energy efficiency sector), while the carbon and energy markets are always the recipients of shocks from other markets (particularly the crude oil market). Thirdly, Green economy sector stocks have satisfactory hedging effects on the market risk of carbon and energy assets. Interestingly, hedging risks in relatively “dirty” assets requires more green economy stocks than in relatively “clean” assets. Finally, the results indicate that portfolios that include green economy stocks significantly outperform portfolios that do not contain green economy stocks, further demonstrating the crucial role of green economy stocks in this system.
Originality/value
Understanding the interactions and portfolio allocation in the “Carbon-Energy-Green economy” system, especially identifying the role of the green economy performance in this system, is important for investors and policymakers.
期刊介绍:
China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.