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.
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页数：7
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