The dynamics of carbon on green energy equity investment: quantile-on-quantile and quantile coherency approaches

被引：39

作者：

Mo, Bin ^{[1
]}

Li, Zhenghui ^{[1
]}

Meng, Juan ^{[2
]}

机构：

[1] Guangzhou Univ, Guangzhou Inst Int Finance, Guangzhou 510006, Peoples R China

[2] Hunan First Normal Univ, Sch Business, Changsha 410205, Peoples R China

来源：

ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH | 2022年 / 29卷 / 04期

关键词：

Carbon price; Green energy; Equity investment; Quantile-on-quantile model; Quantile coherency approach; COVID-19; COUNTRIES-FRESH-EVIDENCE; RENEWABLE ENERGY; OIL PRICE; STOCK-PRICES; ECONOMIC-GROWTH; DEPENDENCE; MARKET; RETURNS; GARCH; SPILLOVER;

D O I：

10.1007/s11356-021-15647-y

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

We analyze the dynamic correlation between the carbon price and the stock returns of green energy companies and calculate the hedging effect of the carbon price on stock returns in green energy sectors. The results show that the coefficients of the carbon price change with time and are vulnerable to extreme events like the COVID-19. The quantile-on-quantile (QQ) model results reveal a dynamic effect from the carbon price to the stock returns of green energy sectors. The quantile coherency (QC) approach results show that investors can benefit more in the short term with high-frequency trading to hedge between carbon trading and the green energy stock market. What is more, the hedging effects are heterogenetic and investors should adjust their hedging strategies in different quantiles.

引用

页码：5912 / 5922

页数：11

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