Spillover effect between carbon spot and futures market: evidence from EU ETS

被引：17
|
作者：
Liu, Jian [1 ]
Tang, Shuai [1 ]
Chang, Chun-Ping [2 ]
机构：
[1] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha 410114, Hunan, Peoples R China
[2] Shih Chien Univ, Kaohsiung Campus, Kaohsiung, Taiwan
来源：
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH | 2021年 / 28卷 / 12期
基金：
中国国家自然科学基金;
关键词：
EUA; Spot; Futures; Mean spillover; Volatility spillover; NONLINEAR GRANGER CAUSALITY; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; ECONOMIC-GROWTH; OIL MARKET; CRUDE-OIL; PRICE; ENERGY; RETURNS; CONNECTEDNESS;
D O I：
10.1007/s11356-020-11653-8
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
The spillover effects of European Union Allowances (EUA) spot and futures markets are important for investors in order to understand the relevance and risk management of product prices. This paper uses non-linear methods of Granger causality to test the mean spillover relationship between the two markets and then analyzes volatility spillovers between the two by the non-linear TVP-VAR spillover index. The results show that (1) the non-linear Granger causality test better reflects the mean spillover relationship between EUA spot and futures; (2) there is a bidirectional non-linear mean spillover effect between EUA spot and futures prices for the European Union Emissions Trading Scheme (EU ETS) phases II and III; and (3) volatility spillovers, appearing in EUA spot and future markets in both phases, work increasingly strong over time and are vulnerable to financial crises and extreme events.
引用
收藏
页码：15223 / 15235
页数：13
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