Information spillovers between carbon emissions trading prices and shipping markets: A time-frequency analysis
Author
Abstract
Suggested Citation
DOI: 10.1016/j.eneco.2023.106604
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016.
"Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk,"
Energy Economics, Elsevier, vol. 54(C), pages 159-172.
- Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
- repec:taf:jnlbes:v:30:y:2012:i:2:p:212-228 is not listed on IDEAS
- Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong & Sousa, Ricardo M., 2015. "An empirical analysis of energy cost pass-through to CO2 emission prices," Energy Economics, Elsevier, vol. 49(C), pages 149-156.
- Gong, Yuting & Li, Kevin X. & Chen, Shu-Ling & Shi, Wenming, 2020. "Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 136(C).
- Paul, Manas & Bhanja, Niyati & Dar, Arif Billah, 2019. "Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries," Resources Policy, Elsevier, vol. 62(C), pages 378-384.
- Corbet, Shaen & Goodell, John W. & Günay, Samet, 2020. "Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19," Energy Economics, Elsevier, vol. 92(C).
- Bilgili, Faik & Lorente, Daniel Balsalobre & Kuşkaya, Sevda & Ünlü, Fatma & Gençoğlu, Pelin & Rosha, Pali, 2021. "The role of hydropower energy in the level of CO2 emissions: An application of continuous wavelet transform," Renewable Energy, Elsevier, vol. 178(C), pages 283-294.
- Zhu, Bangzhu & Huang, Liqing & Yuan, Lili & Ye, Shunxin & Wang, Ping, 2020. "Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 163-175.
- Kang, Sang Hoon & Lee, Jang Woo, 2019. "The network connectedness of volatility spillovers across global futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
- Sheng, Dian & Li, Zhi-Chun & Fu, Xiaowen & Gillen, David, 2017. "Modeling the effects of unilateral and uniform emission regulations under shipping company and port competition," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 101(C), pages 99-114.
- Yang, Dong & Zhang, Lingge & Luo, Meifeng & Li, Feng, 2020. "Does shipping market affect international iron ore trade?– An equilibrium analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 144(C).
- Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
- Song, Yan & Zhang, Ming, 2019. "Research on the gravity movement and mitigation potential of Asia's carbon dioxide emissions," Energy, Elsevier, vol. 170(C), pages 31-39.
- Jozef Baruník & Tomáš Křehlík, 2018.
"Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 271-296.
- Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers 1507.01729, arXiv.org, revised Dec 2017.
- Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
- Chen, Kang & Yang, Zhongzhen & Notteboom, Theo, 2014. "The design of coastal shipping services subject to carbon emission reduction targets and state subsidy levels," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 61(C), pages 192-211.
- Alexandre Kossoy & Grzegorz Peszko & Klaus Oppermann & Nicolai Prytz & Noemie Klein & Kornelis Blok & Long Lam & Lindee Wong & Bram Borkent, "undated". "State and Trends of Carbon Pricing 2015," World Bank Publications - Reports 22630, The World Bank Group.
- Julien Chevallier, 2011. "Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model," Economics Bulletin, AccessEcon, vol. 31(1), pages 255-272.
- Zhen, Lu & Wu, Yiwei & Wang, Shuaian & Laporte, Gilbert, 2020. "Green technology adoption for fleet deployment in a shipping network," Transportation Research Part B: Methodological, Elsevier, vol. 139(C), pages 388-410.
- Maghyereh, Aktham I. & Awartani, Basel & Abdoh, Hussein, 2019. "The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations," Energy, Elsevier, vol. 169(C), pages 895-913.
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- Tao, Juan & Green, Christopher J., 2012. "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 26-37.
- Chang, Kai & Ye, Zhifang & Wang, Weihong, 2019. "Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots," Energy, Elsevier, vol. 185(C), pages 1314-1324.
- repec:dau:papers:123456789/5441 is not listed on IDEAS
- Hung, Ngo Thai & Vo, Xuan Vinh, 2021. "Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 76(C).
- Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.
- Yan, Ran & Wang, Shuaian & Du, Yuquan, 2020. "Development of a two-stage ship fuel consumption prediction and reduction model for a dry bulk ship," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).
- Michael Spence, 1973. "Job Market Signaling," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 87(3), pages 355-374.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Anastasia Christodoulou & Kevin Cullinane, 2024. "The prospects for, and implications of, emissions trading in shipping," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 26(1), pages 168-184, March.
- Zhang-Hangjian Chen & Xiang Gao & Apicha Insuwan, 2023. "Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
- Hercules Haralambides, 2023. "The state-of-play in maritime economics and logistics research (2017–2023)," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 25(3), pages 429-451, September.
- Meng, Bin & Wei, Bangguo & Yang, Mo & Kuang, Haibo, 2023. "Measuring the time-frequency spillover effect among carbon markets and shipping energy markets: A global perspective," Energy Economics, Elsevier, vol. 128(C).
- Shobande, Olatunji A. & Ogbeifun, Lawrence & Tiwari, Aviral Kumar, 2024. "Extricating the impacts of emissions trading system and energy transition on carbon intensity," Applied Energy, Elsevier, vol. 357(C).
- Theodoros Syriopoulos & Efthymios Roumpis & Michael Tsatsaronis, 2023. "Hedging Strategies in Carbon Emission Price Dynamics: Implications for Shipping Markets," Energies, MDPI, vol. 16(17), pages 1-27, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
- Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
- Wu, Ruirui & Qin, Zhongfeng & Liu, Bing-Yue, 2022. "A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China," Energy, Elsevier, vol. 254(PA).
- Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
- Yang, Ming-Yuan & Chen, Zhanghangjian & Liang, Zongzheng & Li, Sai-Ping, 2023. "Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Jiang, Wei & Chen, Yunfei, 2022. "The time-frequency connectedness among carbon, traditional/new energy and material markets of China in pre- and post-COVID-19 outbreak periods," Energy, Elsevier, vol. 246(C).
- Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Su, Chi-Wei & Pang, Li-Dong & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises," Energy, Elsevier, vol. 274(C).
- Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
- Hanif, Waqas & Arreola Hernandez, Jose & Mensi, Walid & Kang, Sang Hoon & Uddin, Gazi Salah & Yoon, Seong-Min, 2021. "Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices," Energy Economics, Elsevier, vol. 101(C).
- Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
- Yi Yao & Lixin Tian & Guangxi Cao, 2022. "The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets," Sustainability, MDPI, vol. 14(8), pages 1-18, April.
- Ha, Le Thanh & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
- Zhao, Lu-Tao & Liu, Hai-Yi & Chen, Xue-Hui, 2024. "How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Su, Xianfang & Zhao, Yachao, 2023. "What has the strongest connectedness with clean energy? Technology, substitutes, or raw materials," Energy Economics, Elsevier, vol. 128(C).
- Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).
- Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
- Lovcha, Yuliya & Perez-Laborda, Alejandro, 2022. "Long-memory and volatility spillovers across petroleum futures," Energy, Elsevier, vol. 243(C).
- Man, Yuanyuan & Zhang, Sunpei & He, Yongda, 2024. "Dynamic risk spillover and hedging efficacy of China’s carbon-energy-finance markets: Economic policy uncertainty and investor sentiment non-linear causal effects," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1397-1416.
- Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).
More about this item
Keywords
Carbon emissions trading; Carbon finance markets; Shipping markets; Time-frequency dependence; Spillover effect;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001020. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.