The relationship between carbon market attention and the EU CET market: Evidence from different market conditions

被引：22

作者：

Zheng, Yan ^{[1
]}

Wen, Fenghua ^{[1
,2
]}

Deng, Hanshi ^{[3
]}

Zeng, Aiqing ^{[4
]}

机构：

[1] Cent South Univ, Sch Business, Changsha 410083, Peoples R China

[2] Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R China

[3] Wheatley Sch, Old Westbury, NY 11568 USA

[4] Hunan Univ Technol & Business, Sch Accounting, Changsha 410205, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2022年 / 50卷

基金：

中国国家自然科学基金;

关键词：

Carbon market attention; Carbon emissions trading market; Principal component analysis; Quantile regression; Lagged effect; INVESTOR ATTENTION; RETURNS EVIDENCE; CROSS-SECTION; PRICE; BEHAVIOR;

D O I：

10.1016/j.frl.2022.103140

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relationship between carbon market attention (CMA) and the Euro-pean Union's carbon emission allowance (EUA) returns under different market conditions. Further, explore whether there is a lag effect between CMA and the EUA returns. The result shows that CMA has a negative effect on the EUA returns. Meanwhile, the influence strength shows a gradually increasing trend, mainly under bullish market conditions. Moreover, we find a lag effect of reversal relationship between CMA and the EUA returns. This effect occurs mainly under bullish market conditions and shows a trend of first increasing and then decreasing.

引用

页数：7

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