Global shocks and local connectedness: evidence from dynamic tail risk interdependences among Chinese regional carbon markets

被引：1

作者：

Chen, Zhang-Hangjian ^{[1
,2
]}

Yu, Cheng-Ye ^{[1
,2
]}

Gao, Xiang ^{[3
]}

Li, Xiaohong ^{[4
,5
]}

机构：

[1] Anhui Univ, Sch Econ, Hefei, Peoples R China

[2] Anhui Univ, Res Ctr Financial & Stat, Hefei, Peoples R China

[3] Shanghai Business Sch, Res Ctr Finance, Shanghai, Peoples R China

[4] Guangxi Univ, Sch Publ Policy & Management, Nanning, Peoples R China

[5] Guangxi Univ, Sch Publ Policy & Management, 100 Daxue East Rd, Nanning 530004, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2025年 / 32卷 / 10期

基金：

中国国家自然科学基金;

关键词：

Tail risk; carbon market; exogenous shocks; time-varying copula; VOLATILITY SPILLOVERS; STOCK-MARKET; FUTURES; PRICES; RETURN; SPOT;

D O I：

10.1080/13504851.2024.2303367

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper analyzes tail risk interdependence among four regional carbon markets in China to investigate the effect of exogenous shocks on local connectedness. We utilize a time-varying copulas approach and find that: (i) the Shenzhen carbon market has the highest level of tail risk due to the lower liquidity and weaker resilience. (ii) Carbon markets where prices are more responsive to information have higher levels of tail risk dependence. (iii) Compared to the China - US trade dispute and the armed conflict in Europe, the shocks from the extreme weather and the COVID-19 outbreak can prominently strengthen tail risk.

引用

页码：1357 / 1362

页数：6

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