Ren, Xiaohang and Dou, Yue and Dong, Kangyin and Yan, Cheng (2023) Spillover effects among crude oil, carbon, and stock markets: evidence from nonparametric causality-in-quantiles tests. Applied Economics, 55 (38). pp. 4486-4509. DOI https://doi.org/10.1080/00036846.2022.2128297
Ren, Xiaohang and Dou, Yue and Dong, Kangyin and Yan, Cheng (2023) Spillover effects among crude oil, carbon, and stock markets: evidence from nonparametric causality-in-quantiles tests. Applied Economics, 55 (38). pp. 4486-4509. DOI https://doi.org/10.1080/00036846.2022.2128297
Ren, Xiaohang and Dou, Yue and Dong, Kangyin and Yan, Cheng (2023) Spillover effects among crude oil, carbon, and stock markets: evidence from nonparametric causality-in-quantiles tests. Applied Economics, 55 (38). pp. 4486-4509. DOI https://doi.org/10.1080/00036846.2022.2128297
Abstract
This study investigates the spillovers and information transmission between carbon, crude oil, and stock markets under various market conditions in Phase III of the EU ETS. For this purpose, we use a novel causality-in-quantiles test method and quantile impulse response functions based on daily data of carbon futures, Brent spot, and three representative equity indices in the Europe over the period from 27 January 2014 to 18 September 2020. We find that crude oil market has a unidirectional spillover effect on carbon market, and this causality is significant under normal to bullish market conditions. Furthermore, the causality-in-quantiles between crude oil and stock markets varies with specific equality index, and the information transmission from crude oil to stock market is strong in the normal stock market but invalid when stock markets become extremely bearish or bullish. The COVID-19 epidemic may cause structural changes in the oil-carbon and oil-stock nexus.
Item Type: | Article |
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Uncontrolled Keywords: | Crude oil; carbon market; stock market; causality-In-Quantile; cuantile impulse response function |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 04 Oct 2023 13:19 |
Last Modified: | 16 May 2024 21:31 |
URI: | http://repository.essex.ac.uk/id/eprint/34787 |