Investigating the interconnectedness of carbon, fossil energy, and financial markets: A dynamic spillover index approach.

ABSTRACT: Against the background of the global active pursuit of carbon neutrality, this paper uses the DY spillover index method to analyze the spillover network effects between carbon, fossil energy and financial markets. The research results show that the spillover effects between these three markets change over time, with an average spillover index of 25.30%, showing a significant mutual influence. Further analysis found that the EU carbon market plays an important role in spillover effects. Especially under the influence of extreme events, the spillover effects reach their peak. At this time, the degree of mutual influence between markets is as high as 60.01%. In addition, during the COVID-19 epidemic, the spillover effect of the EU carbon market on other markets also reached its maximum, indic

SUBMITTER: Li T 

PROVIDER: S-EPMC10721088 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature