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

IF 9 1区 经济学 Q1 BUSINESS, FINANCE
Yingyue Sun, Yu Wei, Yizhi Wang
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引用次数: 0

摘要

本文采用 Antonakakis 等人(2020 年)和 Chatziantoniou 等人(2021 年)提供的 TVP-VAR 方法和投资组合回测模型,包括双变量投资组合和多变量投资组合。(研究结果首先,"碳-能源-绿色经济 "系统内部的关联性很强,主要由短期(每周)关联性驱动。值得注意的是,COVID-19 大流行导致了该系统关联度的纵向增加。其次,在 "碳-能源-绿色经济 "系统中,绿色经济股票中的大多数板块往往是其他市场冲击的传播者(尤其是能效板块),而碳和能源市场总是其他市场冲击的接受者(尤其是原油市场)。第三,绿色经济部门股票对碳和能源资产市场风险的对冲效果令人满意。有趣的是,与相对 "清洁 "的资产相比,对冲相对 "肮脏 "资产的风险需要更多的绿色经济股票。最后,研究结果表明,包含绿色经济股票的投资组合明显优于不包含绿色经济股票的投资组合,这进一步证明了绿色经济股票在该系统中的关键作用。 原创性/价值了解 "碳-能源-绿色经济 "系统中的相互作用和投资组合配置,尤其是确定绿色经济表现在该系统中的作用,对于投资者和政策制定者来说非常重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

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来源期刊
CiteScore
12.40
自引率
1.20%
发文量
112
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.
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