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随着碳交易市场金融化程度的加深，碳市场和新能源行业股市间的关联也日益频繁，研究两市场间的波动溢出效应对于我国防范碳价和新能源股价的剧烈波动、维持碳排放权交易体系和新能源股市的稳定运行具有重要意义。本文采用QVAR-DY模型实证研究了我国代表性碳市场和新能源股价的波动溢出效应及其尾部特征。实证结果表明：第一，在静态溢出分析中，极端冲击下的尾部波动溢出效应明显强于正常状态，极端冲击下湖北碳市场、水电行业和储能行业对其他市场的溢出最为强烈；第二，在动态溢出分析中，极端状态与正常状态总溢出走势存在较大的差异，且与中美贸易摩擦、新冠疫情等极端经济金融事件密切相关；第三，各细分新能源行业股市对碳市场的风险溢出存在非对称性，光伏产业和汽车产业在极端状态下的溢出水平最高，而核电产业和电池产业在极端状态下的风险溢出水平最低。研究结论可为我国防范化解碳市场和新能源股票市场间的风险传染，维护金融市场平稳运行提供理论依据以及政策建议。
Abstract：With the deepening financialization of carbon trading market, the correlation between carbon market and new energy stock market is becoming increasingly frequent. The study of volatility spillover effect between the two markets is of great significance for China to prevent the wild fluctuations of carbon prices and new energy stock prices and maintain the stable operation of carbon emission trading system and new energy stock market. In this paper, the QVAR-DY model is used to empirically study the volatility spillover effect and tail characteristics of China's representative carbon markets and new energy stock prices. First, in the static spillover analysis, the tail wave spillover effect under extreme shocks is significantly stronger than the normal state, and the spillover effects of Hubei carbon market, hydropower industry and energy storage industry on the other markets are the strongest under extreme shocks. Second, in the dynamic spillover analysis,there is a big difference between the total spillover trends of extreme state and normal state, which is closely related to the extreme economic and financial events such as China-Us trade frictions and the COVID-19pandemic. Third, the asymmetric risk spillovers exist between the stock market of each new energy industry and the carbon market. The PV industry and the automobile industry have the highest spillover level under the extreme state while the nuclear power industry and the battery industry have the lowest risk spillover level under the extreme state. The research conclusions can provide theoretical reference and policy suggestions for preventing and resolving the risk contagion between the carbon market and the new energy stock market and maintaining the smooth operation of the financial market in China.
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基本信息:
DOI：10.15886/j.cnki.hnus.202402.0264
中图分类号:F832.5;F426.61
引用信息:
[1]郭娜,王珮瑶,刘精山,等.中国碳市场与新能源股票市场的极端风险溢出效应——基于尾部相依性和非对称性视角的分析[J].海南大学学报(人文社会科学版),2025,43(05):78-88.DOI:10.15886/j.cnki.hnus.202402.0264.
基金信息:
国家社会科学基金重大项目（23ZDA038）
2024-05-23
2024-05-23
2024-05-23