我国碳排放权交易市场与高碳排放行业、新能源行业股票市场的联动性及风险传染研究

Research on the Dynamic Correlation and Risk Contagion between Carbon Emission Trade Market and the Stock Market of High-Carbon-Emission Industry & New Energy Resources Industry in China

近年来,全球气候整体变暖趋势愈发严重,人类越来越重视节能减排问题,发展低碳经济已成为各国共识。为控制企业碳排放量,建立碳排放权交易市场是最有效措施之一。而随着我国统一碳排放权交易市场的建立,其作为一个新兴的投资市场也逐渐进入投资者的视野。本文选取我国上海、北京、广东和天津四个碳排放权交易试点市场作为碳排放权交易样本市场,并编制了两个行业股票指数作为股票样本市场指标,通过构建时变t-Copula-GARCH模型研究了两两市场之间的动态条件相关性。在此基础上,本文利用分段Granger因果关系检验分析了两两市场在不同时期的风险传染性的变化。实证研究发现:在正常情况下,碳交易价格的变化对高碳排放行业股指存在负向影响;当美国宣布退出巴黎气候条约时,以及在我国新冠疫情得到控制后的复工复产阶段,高碳排放行业股指的变化对碳交易价格存在正向影响;新能源产业的股指收益率受国家政策影响较大,且新能源行业股指的变化对碳交易价格存在负向影响。基于研究结果,本文分别对投资者、企业主体及政府提出了一系列参考和建议。

In recent years, the trend of global warming has become increasingly significant. People are paying more and more attention to energy conservation and emission reduction, and the development of low-carbon economy planning has become the consensus of certain countries. In order to control the carbon emissions of enterprises, the establishment of carbon emission trading market is one of the most effective measures. With the construction of China’s unified carbon emission trading market, it has gradually entered the horizon of investors as a brand-new investment channel. We selected four pilot carbon emission trading markets in China, Shanghai, Beijing, Guangdong and Tianjin, as sample markets for carbon emission trading, and two separate industry stock indexes were compiled as sample market indexes. By constructing a time-varying t-Copula-GARCH model, we studied the dynamic conditional correlation between the two markets in a specified sample interval. On this basis, the change of risk contagion in two markets in different periods was analyzed respectively by using Piecewise Granger Causality Test. Through Empirical research, we could draw the following conclusions. Firstly, under normal circumstances, the change of carbon trading price has a negative impact on the stock index of the high-carbon-emission industry. Secondly, When the United States announced its withdrawal from the Paris Climate Treaty, as well as the resumption of work and production after the COVID-19 epidemic in China was under control, the change of high-carbon industry index had a positive impact on carbon trading price. Finally, the return rate of new energy industry stock index is greatly affected by national policies, and the change of high-carbon-emission industry stock index has a negative impact on carbon trading price. Additionally, based on the research results, we put forward a series of suggestions and conferences for investors, enterprises and the government.