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題名 剖析碳價和石油衝擊對股市的影響: 基於 VAR 方法的實證分析
Dissecting the Impact of Carbon Price and Oil Shock on Stock Market: Evidence from VAR Approach
作者 林庚鋒
Lin, Keng-Feng
貢獻者 林士貴
林庚鋒
Lin, Keng-Feng
關鍵詞 碳排放交易系統
原油
外溢效果
向量自回歸
Emissions Trading System
Crude Oil
Spillover Effect
Vector Autoregression
日期 2024
上傳時間 3-Mar-2025 13:50:14 (UTC+8)
摘要 近年氣候變遷議題持續被社會各界所重視，諸多碳交易平臺在政府推動下應運而 生。過往文獻聚焦發展較為成熟且具有指標性的 EUETS，然而受限於 EUETS 初期的產業規範要求，相關研究主要著眼於源、鋼鐵、水泥、玻璃、制磚和造紙 等高能源密集產業以及於能源市場的互動。隨著碳交易所的逐漸成熟，其他產業 也將在未來參與碳市場交易。因此，本文探討更爲廣氾的產業範圍，透過向量自 回歸模型對碳市場、原油市場及股市進行外溢效果分析。本研究發現，碳報酬具 有顯著的自相關性。脈衝響應分析及外溢效果之驗證結果表明，碳市場對其他市 場的影響有限，而原油市場在系統內不論是對碳市場或是股市都具有顯著影響。 造成此差異之主要原因可能為目前碳市場涵蓋的產業較少，因此碳衝擊仍難以對 企業獲利造成實質變化。
Climate change has garnered increasing attention from various sectors of society, leading to the emergence of numerous carbon trading platforms driven by government initiatives. Previous literature has focused on the more developed and benchmark- setting EU ETS. However, due to the initial industry regulations, related research primarily concentrated on high energy-intensive industries such as sources, steel, cement, glass, brick manufacturing, and paper production, as well as their interactions within the energy market. With carbon exchanges developing, more industries are expected to participate in the carbon market in the future. This study explores a broader range of industries and conducts a spillover effect analysis on the carbon market, crude oil market, and stock market by using a vector autoregression (VAR) model. The study finds that carbon returns exhibit significant autocorrelation. The results of impulse response analysis and spillover effect examination indicate that the carbon market has limited impact on other markets, while the crude oil market significantly affects other two markets. The primary reason for this difference may be that the current carbon market covers fewer industries, making it difficult for carbon shocks to cause substantial changes in corporate profitability.
參考文獻 Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34(2), 611-617. Chen, Y., Qu, F., Li, W., & Chen, M. (2019). Volatility spillover and dynamic correlation between the carbon market and energy markets. Journal of Business Economics and Management, 20(5), 979-999. Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. Elyasiani, E., Mansur, I., & Odusami, B. (2011). Oil price shocks and industry stock returns. Energy Economics, 33(5), 966-974. García, A., García-Álvarez, M. T., & Moreno, B. (2021). The impact of EU allowance prices on the stock market indices of the European power industries: Evidence from the ongoing EU ETS phase III. Organization & Environment, 34(3), 459- 478. Gogineni, S. (2010). Oil and the stock market: An industry level analysis. Financial Review, 45(4), 995-1010. Graham, M., Hasselgren, A., & Peltomäki, J. (2016). Using CO2 emission allowances in equity portfolios. In Handbook of Environmental and Sustainable Finance (pp. 359-370). Elsevier. Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287. Koch, N., & Bassen, A. (2013). Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments. Energy Economics, 36, 431-443. Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147. Lee, B.-J., Yang, C. W., & Huang, B.-N. (2012). Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries. Energy Economics, 34(5), 1284-1300. Liu, H.-H., & Chen, Y.-C. (2013). A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets: the impacts of extreme weather. Economic Modelling, 35, 840-855. Moreno, B., & da Silva, P. P. (2016). How do Spanish polluting sectors' stock market returns react to European Union allowances prices? A panel data approach. Energy, 103, 240-250. Oberndorfer, U. (2009). EU emission allowances and the stock market: evidence from the electricity industry. Ecological Economics, 68(4), 1116-1126. Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29. Ren, X., Dou, Y., Dong, K., & Yan, C. (2023). Spillover effects among crude oil, carbon, and stock markets: evidence from nonparametric causality-in-quantiles tests. Applied Economics, 55(38), 4486-4509. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449-469. Sakaki, H. (2019). Oil price shocks and the equity market: Evidence for the S&P 500 sectoral indices. Research in International Business and Finance, 49, 137-155. Tan, X., Sirichand, K., Vivian, A., & Wang, X. (2020). How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. Energy Economics, 90, 104870. Tian, Y., Akimov, A., Roca, E., & Wong, V. (2016). Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context. Journal of Cleaner Production, 112, 1619-1626. Veith, S., Werner, J. R., & Zimmermann, J. (2009). Capital market response to emission rights returns: Evidence from the European power sector. Energy Economics, 31(4), 605-613. Wang, Y., & Guo, Z. (2018). The dynamic spillover between carbon and energy markets: new evidence. Energy, 149, 24-33. Wang, Z.-J., & Zhao, L.-T. (2021). The impact of the global stock and energy market on EU ETS: A structural equation modelling approach. Journal of Cleaner Production, 289, 125140. Wen, X., Bouri, E., & Roubaud, D. (2017). Can energy commodity futures add to the value of carbon assets? Economic Modelling, 62, 194-206. Yu, L., Li, J., Tang, L., & Wang, S. (2015). Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach. Energy Economics, 51, 300-311. Zhang, Y.-J., & Sun, Y.-F. (2016). The dynamic volatility spillover between European carbon trading market and fossil energy market. Journal of Cleaner Production, 112, 2654-2663. Zhao, Y., Zhou, Z., Zhang, K., Huo, Y., Sun, D., Zhao, H., Sun, J., & Guo, S. (2023). Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe. Energy, 263, 126107.
描述 碩士
國立政治大學
金融學系
111352031
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111352031
資料類型 thesis
dc.contributor.advisor 林士貴zh_TW
dc.contributor.author (Authors) 林庚鋒zh_TW
dc.contributor.author (Authors) Lin, Keng-Fengen_US
dc.creator (作者) 林庚鋒zh_TW
dc.creator (作者) Lin, Keng-Fengen_US
dc.date (日期) 2024en_US
dc.date.accessioned 3-Mar-2025 13:50:14 (UTC+8)-
dc.date.available 3-Mar-2025 13:50:14 (UTC+8)-
dc.date.issued (上傳時間) 3-Mar-2025 13:50:14 (UTC+8)-
dc.identifier (Other Identifiers) G0111352031en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/155931-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 111352031zh_TW
dc.description.abstract (摘要) 近年氣候變遷議題持續被社會各界所重視，諸多碳交易平臺在政府推動下應運而 生。過往文獻聚焦發展較為成熟且具有指標性的 EUETS，然而受限於 EUETS 初期的產業規範要求，相關研究主要著眼於源、鋼鐵、水泥、玻璃、制磚和造紙 等高能源密集產業以及於能源市場的互動。隨著碳交易所的逐漸成熟，其他產業 也將在未來參與碳市場交易。因此，本文探討更爲廣氾的產業範圍，透過向量自 回歸模型對碳市場、原油市場及股市進行外溢效果分析。本研究發現，碳報酬具 有顯著的自相關性。脈衝響應分析及外溢效果之驗證結果表明，碳市場對其他市 場的影響有限，而原油市場在系統內不論是對碳市場或是股市都具有顯著影響。 造成此差異之主要原因可能為目前碳市場涵蓋的產業較少，因此碳衝擊仍難以對 企業獲利造成實質變化。zh_TW
dc.description.abstract (摘要) Climate change has garnered increasing attention from various sectors of society, leading to the emergence of numerous carbon trading platforms driven by government initiatives. Previous literature has focused on the more developed and benchmark- setting EU ETS. However, due to the initial industry regulations, related research primarily concentrated on high energy-intensive industries such as sources, steel, cement, glass, brick manufacturing, and paper production, as well as their interactions within the energy market. With carbon exchanges developing, more industries are expected to participate in the carbon market in the future. This study explores a broader range of industries and conducts a spillover effect analysis on the carbon market, crude oil market, and stock market by using a vector autoregression (VAR) model. The study finds that carbon returns exhibit significant autocorrelation. The results of impulse response analysis and spillover effect examination indicate that the carbon market has limited impact on other markets, while the crude oil market significantly affects other two markets. The primary reason for this difference may be that the current carbon market covers fewer industries, making it difficult for carbon shocks to cause substantial changes in corporate profitability.en_US
dc.description.tableofcontents 第一章 緒論 1 第二章 文獻回顧 5 一、碳市場與股票市場 5 二、碳市場與原油市場 7 三、原油市場與股票市場 8 四、碳市場、原油市場與股票市場 9 第三章 研究方法 11 一、VAR 11 二、IRF 12 三、DY spillover index 13 第四章 實證分析 16 一、資料描述及預處理 16 二、VAR 估計結果 18 三、IRF 衝擊反應結果 20 (一)來自原油市場之衝擊 20 (二)來自碳市場之衝擊 25 四、DY spillover index 30 第五章 結論 36 參考文獻 37zh_TW
dc.format.extent 3318434 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352031en_US
dc.subject (關鍵詞) 碳排放交易系統zh_TW
dc.subject (關鍵詞) 原油zh_TW
dc.subject (關鍵詞) 外溢效果zh_TW
dc.subject (關鍵詞) 向量自回歸zh_TW
dc.subject (關鍵詞) Emissions Trading Systemen_US
dc.subject (關鍵詞) Crude Oilen_US
dc.subject (關鍵詞) Spillover Effecten_US
dc.subject (關鍵詞) Vector Autoregressionen_US
dc.title (題名) 剖析碳價和石油衝擊對股市的影響: 基於 VAR 方法的實證分析zh_TW
dc.title (題名) Dissecting the Impact of Carbon Price and Oil Shock on Stock Market: Evidence from VAR Approachen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34(2), 611-617. Chen, Y., Qu, F., Li, W., & Chen, M. (2019). Volatility spillover and dynamic correlation between the carbon market and energy markets. Journal of Business Economics and Management, 20(5), 979-999. Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. Elyasiani, E., Mansur, I., & Odusami, B. (2011). Oil price shocks and industry stock returns. Energy Economics, 33(5), 966-974. García, A., García-Álvarez, M. T., & Moreno, B. (2021). The impact of EU allowance prices on the stock market indices of the European power industries: Evidence from the ongoing EU ETS phase III. Organization & Environment, 34(3), 459- 478. Gogineni, S. (2010). Oil and the stock market: An industry level analysis. Financial Review, 45(4), 995-1010. Graham, M., Hasselgren, A., & Peltomäki, J. (2016). Using CO2 emission allowances in equity portfolios. In Handbook of Environmental and Sustainable Finance (pp. 359-370). Elsevier. Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287. Koch, N., & Bassen, A. (2013). Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments. Energy Economics, 36, 431-443. Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147. Lee, B.-J., Yang, C. W., & Huang, B.-N. (2012). Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries. Energy Economics, 34(5), 1284-1300. Liu, H.-H., & Chen, Y.-C. (2013). A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets: the impacts of extreme weather. Economic Modelling, 35, 840-855. Moreno, B., & da Silva, P. P. (2016). How do Spanish polluting sectors' stock market returns react to European Union allowances prices? A panel data approach. Energy, 103, 240-250. Oberndorfer, U. (2009). EU emission allowances and the stock market: evidence from the electricity industry. Ecological Economics, 68(4), 1116-1126. Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29. Ren, X., Dou, Y., Dong, K., & Yan, C. (2023). Spillover effects among crude oil, carbon, and stock markets: evidence from nonparametric causality-in-quantiles tests. Applied Economics, 55(38), 4486-4509. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449-469. Sakaki, H. (2019). Oil price shocks and the equity market: Evidence for the S&P 500 sectoral indices. Research in International Business and Finance, 49, 137-155. Tan, X., Sirichand, K., Vivian, A., & Wang, X. (2020). How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. Energy Economics, 90, 104870. Tian, Y., Akimov, A., Roca, E., & Wong, V. (2016). Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context. Journal of Cleaner Production, 112, 1619-1626. Veith, S., Werner, J. R., & Zimmermann, J. (2009). Capital market response to emission rights returns: Evidence from the European power sector. Energy Economics, 31(4), 605-613. Wang, Y., & Guo, Z. (2018). The dynamic spillover between carbon and energy markets: new evidence. Energy, 149, 24-33. Wang, Z.-J., & Zhao, L.-T. (2021). The impact of the global stock and energy market on EU ETS: A structural equation modelling approach. Journal of Cleaner Production, 289, 125140. Wen, X., Bouri, E., & Roubaud, D. (2017). Can energy commodity futures add to the value of carbon assets? Economic Modelling, 62, 194-206. Yu, L., Li, J., Tang, L., & Wang, S. (2015). Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach. Energy Economics, 51, 300-311. Zhang, Y.-J., & Sun, Y.-F. (2016). The dynamic volatility spillover between European carbon trading market and fossil energy market. Journal of Cleaner Production, 112, 2654-2663. Zhao, Y., Zhou, Z., Zhang, K., Huo, Y., Sun, D., Zhao, H., Sun, J., & Guo, S. (2023). Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe. Energy, 263, 126107.zh_TW