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Carbon VIX: A case of decarbonized SPACs

Author

Listed:
  • Dimic, Nebojsa
  • Tinoco, Mario Hernandez
  • Piljak, Vanja
  • Vulanovic, Milos

Abstract

The recent Carbon volatility index (Carbon VIX) by Fuchs, Stroebel, and Terstegge (2024) raises important questions regarding its impact on the financial performance of decarbonizing companies. We investigate the relationship between decarbonized SPACs and the Carbon VIX. While the Decarbonised SPAC Index does not exhibit a statistically significant linear relationship with the Carbon VIX, a regime-shifting approach indicates a positive association in low-volatility environments. Furthermore, carbon prices show a positive effect in low price regimes. We highlight the importance of considering regime shifts and non-linear effects when assessing the impact of volatility and price dynamics on decarbonized SPAC performance.

Suggested Citation

  • Dimic, Nebojsa & Tinoco, Mario Hernandez & Piljak, Vanja & Vulanovic, Milos, 2024. "Carbon VIX: A case of decarbonized SPACs," Finance Research Letters, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013898
    DOI: 10.1016/j.frl.2024.106360
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    References listed on IDEAS

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    More about this item

    Keywords

    Carbon price; Carbon VIX; Carbon volatility; Energy; SPACs; Special purpose acquisition company;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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