Structural Break, Stock Prices of Clean Energy Firms and Carbon Market

2017 5th International Conference on Environment Pollution and Prevention

生态环境科学

Wang, Yubao^1 ; Cai, Junyu^1

School of Economics and Finance, Xi'An Jiaotong University, Xi'an, China^1

关键词: Carbon markets;    Causal relationships;    Causality test;    Granger causality test;    Nonstationary;    Stock indices;    Structural break;    Unit root tests;   

Others  :  https://iopscience.iop.org/article/10.1088/1755-1315/120/1/012018/pdf
DOI  :  10.1088/1755-1315/120/1/012018

学科分类：环境科学（综合）

来源: IOP

【 摘 要 】

This paper uses EU ETS carbon future price and Germany/UK clean energy firms stock indices to study the relationship between carbon market and clean energy market. By structural break test, it is found that the 'non-stationary' variables judged by classical unit root test do own unit roots and need taking first difference. After analysis of VAR and Granger causality test, no causal relationships are found between the two markets. However, when Hsiao's version of causality test is employed, carbon market is found to have power in explaining the movement of stock prices of clean energy firms, and stock prices of clean energy firms also affect the carbon market.