Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe

Zhao, Yihang; Zhou, Zhenxi; Zhang, Kaiwen; Huo, Yaotong; Sun, Dong; Zhao, Huiru; Sun, Junbo; Guo, Sen

doi:10.1016/j.energy.2022.126107

Cited by 27 publications

(11 citation statements)

References 37 publications

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“…Secondly, there are also corresponding studies on the spillover effects between carbon markets and traditional energy stocks [4][5][6][7][8][9][10][11]. It was found that the correlation between the EU carbon market and the crude oil market exhibits symmetry, with fluctuations in dependence observed across different stages.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Particularly, during periods characterized by crisis and instability, there is an amplified interdependence between the two markets [11]. Other studies found that in Europe, the spillover effects of the carbon market are directly trans-mitted to the electricity market through prices rather than yields, and the energy market plays a bridge role in promoting the coupling of the carbon and electricity markets [4].…”

Section: Literature Reviewmentioning

confidence: 99%

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Examining the Spillover Effects of Renewable Energy Policies on China’s Traditional Energy Industries and Stock Markets

Zhao,

Yu,

Meng

et al. 2024

Energies

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With the development and refinement of the carbon emissions trading market, the relationship between the carbon market and the stock market has grown increasingly intertwined. This has led to a surge in research investigating the interactions between the carbon market and related sectors. This study examines the intensity and direction of spillover effects among ten industries associated with carbon emissions, spanning traditional and emerging energy sectors. Through static analysis, we find that spillover effects between industries in the carbon and stock markets are bidirectional and asymmetric. Dynamic analysis reveals that the carbon market, acting as the primary recipient of spillover effects, is notably influenced by traditional energy industries such as coal and oil, followed by photovoltaics, new energy vehicles, and others. The magnitude of these spillover effects is subject to fluctuations influenced by energy crises and events like the COVID-19 pandemic, while policy interventions can alter the overall trends in net spillover effects across various industries.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Examining the Spillover Effects of Renewable Energy Policies on China’s Traditional Energy Industries and Stock Markets

Zhao,

Yu,

Meng

et al. 2024

Energies

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“…Ref. [19] examined the return and volatility spillover effects between the European CET market and six electricity market electricity price indices using the vector autoregressive (VAR), Baba-Engle-Kraft-Kroner (BEKK), and generalized autoregressive conditional heteroskedasticity (GARCH) model. The findings indicate that the impact between the CET market and the electricity market primarily involves the transmission of price fluctuations rather than the direct impact of returns.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Spillovers between Carbon Price and Power Sector Returns in China: A Network-Based Analysis before and after Launching National Carbon Emissions Trading Market

et al. 2023

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The launch of the national carbon emissions trading (CET) market has resulted in a closer relationship between China’s CET market and its electricity market, making it easy for risks to transfer between markets. This paper utilizes data from China’s CET market and electric power companies between 2017 and 2023 to construct the spillover index model of Diebold and Yilmaz, the frequency-domain spillover approach developed by Barun’ik and Křehl’ik, and a minimum spanning tree model. The comparison is made before and after the launch of the national CET market. Subsequently, this paper examines the market spillover effects, as well as the static and dynamic properties of network structures, considering both the time domain and frequency-domain perspectives. The research findings suggest the following: (1) There is a strong risk spillover effect between China’s CET market and the stock prices of electric power companies; (2) There is asymmetry in the paired spillover effects between carbon trading pilot markets and the national CET market, and differences exist in the impact of risk spillovers from power companies between the two; (3) The results of the MST model indicate that the risk contagion efficiency is higher in the regional CET pilot stage compared to the national CET market launch stage, with significant changes occurring in key nodes before and after the launch of the national CET market; (4) Both the dynamic spillover index and the standardized tree length results demonstrate that crisis events can worsen the risk contagion between markets. Besides offering a theoretical foundation and empirical evidence for the development of China’s CET and electricity markets, the findings of this paper can provide recommendations for financial market participants as well.

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“…The renewable energy and electricity markets are greatly influenced by the information in the carbon market (Habiba et al,2021;Su et al, 2023;. The carbon market drives up the production costs of the electricity market participants (Zhao et al, 2023). The fluctuation of carbon price will encourage companies to complete the transition from non-renewable to renewable energy, leading to significant new investments in renewable energy (Kim et al,2020).…”

Section: Introductionmentioning

confidence: 99%

The dynamic risk spillover effects among carbon, renewable energy, and electricity markets based on the TVP-VAR-DY model

Luo,

Hong,

Guang

2023

Preprint

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The linkages among carbon, renewable energy, and electricity markets are gradually strengthening. This paper uses the TVP-VAR-DY (Time Varying Parameter-Vector Auto Regression- Dynamic) model to analyze the dynamic risk spillover effects and network structure of risk transmission among carbon, renewable energy, and electricity markets. The empirical results show that there are significant asymmetric spillover effects among carbon, renewable energy, and electricity markets. The total spillover index shows that spillover effects among carbon, renewable energy, and electricity markets are time-varying, especially during unexpected events. Besides, the net spillover index indicates that the spillover effects are bidirectional, asymmetric, and time-varying. Finally, under the influence of unexpected events, the network structures of risk transmission among carbon, renewable energy, and electricity markets are heterogeneous. Compared to the Russia-Ukraine conflict, the COVID-19 pandemic has a more significant impact on these markets.

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Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe

Cited by 27 publications

References 37 publications

Examining the Spillover Effects of Renewable Energy Policies on China’s Traditional Energy Industries and Stock Markets

Examining the Spillover Effects of Renewable Energy Policies on China’s Traditional Energy Industries and Stock Markets

Dynamic Spillovers between Carbon Price and Power Sector Returns in China: A Network-Based Analysis before and after Launching National Carbon Emissions Trading Market

The dynamic risk spillover effects among carbon, renewable energy, and electricity markets based on the TVP-VAR-DY model

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