Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method

Li, Zhengzheng; Li, Yameng; Huang, Chia-Yun; Peculea, Adelina Dumitrescu

doi:10.1016/j.eneco.2023.106542

Cited by 18 publications

(3 citation statements)

References 60 publications

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“…In other words, ESG should induce stability in firms’ financial outcomes. Therefore, it can be argued that the strong ESG proposition (proxied as ESG scores in this study) lessens SPV as compared to the stocks with lower ESG scores (Liu et al , 2023; Sabbaghi, 2023) that highlight the impact of positive and negative news related to ESG on the SPV of the ESG firms. The study documents that the SPV of high-rated ESG firms responds more to unfavorable news regarding their industry, as compared to favorable news, both in developed and developing nations.…”

Section: Literature Reviewmentioning

confidence: 74%

ESG and share price volatility in energy sector firms: does the development phase of countries matter?

Singh,

Jaiwani

2023

IJESM

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Purpose The global energy sector draws significant stakeholder attention due to never-ending controversies surrounding its environmental impacts. Investors’ response to such controversies causes direct financial implications for these firms. Furthermore, environmental, social and governance (ESG) sensitivity, which is likely to safeguard the energy sector firms from such controversies, is itself conditional to the development stage of a country and its regulatory environment. Therefore, this study aims to investigate if the influence of ESG on the share price volatility (SPV) of energy sector firms is subject to the development stage of the countries. Design/methodology/approach The study investigates nine years of panel data of 93 global energy sector firms from developing and developed nations. Using dynamic two-way fixed effects estimation and computing robust standard errors to obtain the econometric results. Findings The main finding reveals that the impact of ESG on SPV is, indeed, subject to the development stage of the nations. Similar results are observed for the effects of the social dimension of ESG on SPV. While ESG impacts the SPV negatively for firms in developing economies, the impact is the opposite for firms in developed nations. In other words, strong ESG propositions induce share price stability for developing countries while destabilizing the firms in developed nations. Practical implications The policymakers should further streamline the regulations and policies related to ESG adoption and adherence. In practice, the energy sectors should streamline their operations. Firm managers, especially in the energy sector, should devise strategies with ESG as an essential component to safeguard their firms against environmental and market volatility and adversatives. The firms in developing nations should further strengthen their social dimension of ESG to foster social equity and harmony. Originality/value The study contributes through its niche investigations on the energy sector, which is very important for the world economy. The study is relevant in the current scenario when the world faces a severe energy crisis due to global supply chain issues.

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Section: Literature Reviewmentioning

confidence: 74%

ESG and share price volatility in energy sector firms: does the development phase of countries matter?

Singh,

Jaiwani

2023

IJESM

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“…In recent years, major international events such as the US-China trade friction and the COVID-19 pandemic have heightened economic policy uncertainty. Baker introduced the EPU index in 2016, and various studies have demonstrated its significant impact on economic and financial activities (Li et al , 2015; Ko and Lee, 2015; Carrière-Swallow and Céspedes, 2013; Duan et al , 2023b; Ren et al , 2022b; Dutta et al , 2021; Li et al , 2023). Furthermore, to realize significant initiatives such as carbon neutrality, countries worldwide have diligently enhanced green finance policy frameworks and incentive mechanisms.…”

Section: Introductionmentioning

confidence: 99%

The heterogeneous role of economic and financial uncertainty in green bond market efficiency

Wei,

Zhou,

Ren

et al. 2023

RAF

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Purpose This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market. Design/methodology/approach This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic. Findings EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened. Practical implications This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market. Originality/value This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.

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“…The increasing climate change issues and carbon emissions in China have caused significant concern worldwide, and for good reason (Li et al, 2023; Ren et al, 2023b; Wang et al, 2023; Zhang et al, 2023). China's emissions have risen by an average of 1.6% per year over the last decade, which has had a dominant impact on the global trend.…”

Section: Introductionmentioning

confidence: 99%

Assessing the role of green investment in energy efficiency: Does digital economy matter?

Dong,

Zeng,

Wang

et al. 2023

Energy Exploration & Exploitation

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Energy efficiency is crucial for achieving a balance between economic growth and sustainable development. As carbon-neutral targets continue to gain momentum, green investments are becoming increasingly important. Therefore, it is critical to investigate the relationship between green investment and energy efficiency. This paper aims to fill a gap in the macroeconomic literature by using a generalized method of moments (GMM) technique based on panel data from 30 provinces in China from 2006 to 2019. The econometric results indicate that green investment is positively associated with energy efficiency. Additionally, green investment indirectly promotes energy efficiency by fostering technology innovation and research and development (R&D) intensity. The results also suggest that more advanced digital development is linked to improvements in energy efficiency. Furthermore, regions characterized by higher levels of digital economy exhibit a more pronounced contribution of green investment to energy efficiency. Based on these findings, this paper provides valuable insights for Chinese policymakers on green investment and low-carbon development.

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Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method

Cited by 18 publications

References 60 publications

ESG and share price volatility in energy sector firms: does the development phase of countries matter?

ESG and share price volatility in energy sector firms: does the development phase of countries matter?

The heterogeneous role of economic and financial uncertainty in green bond market efficiency

Assessing the role of green investment in energy efficiency: Does digital economy matter?

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