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題名 碳權交易系統與廠商風險：網絡分析
Emissions trading scheme participation and firm risks: network analysis
作者 賀瑋年
HO, WEI-NIEN
貢獻者 何靜嫺
賀瑋年
HO, WEI-NIEN
關鍵詞 歐盟碳排放交易系統（EU ETS）
閾值網絡
企業風險
企業風險管理（ERM）
風險傳播
EU Emissions Trading System (EU ETS)
Threshold Network
Firm Risk
Enterprise Risk Management (ERM)
Risk Transmission
日期 2025
上傳時間 4-Aug-2025 12:51:58 (UTC+8)
摘要 本研究探討歐盟碳排放交易系統(EU ETS)中企業之間的連結如何影響風險的傳播。我 們建構了三種類型的網絡:短期視角的碳權交易網絡、長期視角的股價報酬網絡，以及兩者結 合的混合網絡。透過分析企業在這些網絡中的位置(中心性指標)，本研究探討其對財務風險、 基本面風險及 ESG 風險的影響。研究結果顯示，具有較高中心性的企業往往成為財務與環境 風險的關鍵傳播節點，進一步放大市場不確定性。然而，在策略、財報可靠性與整體企業風險 管理(ERM)風險方面，高中心性企業則展現出穩定市場的作用，有助於減緩風險的傳遞。在 混合網絡中，合規風險成為顯著因素，顯示企業的法規遵循能力在平衡風險流動中扮演重要角 色。此外，ERM 的穩定效果在混合網絡中更為顯著。這些發現填補了現有碳市場風險傳播研 究的空白，並為企業風險管理與政策制定提供了重要見解，特別是在監管高度連結企業方面。
This study examines how connections between firms in the European Union Emissions Trading System (EU ETS) influence the spread of risks. We build three types of networks: a short-term view permit trading network, long-term view stock return networks, and combined mixed networks. By analyzing firms’ positions (degrees of centrality) in these networks, the study explores their impact on financial risks, fundamental risks, and ESG risks. The results show that firms with higher centrality often act as key points for spreading financial and environmental risks, amplifying market uncertainties. However, for strategy, reporting, and total Enterprise Risk Management (ERM) risk, highly central firms tend to play a stabilizing role, helping to slow down risk transmission. In the mixed network, compliance risk becomes a significant factor, suggesting that firms’ ability to comply with regulations is critical in balancing the flow of risks. Furthermore, the stabilizing effect of ERM is even stronger in the combined network. These findings fill a gap in existing research on how risks spread in carbon markets and provide valuable insights for firm risk management and policymaking, especially regarding the oversight of highly connected firms.
參考文獻 Anger, N. & Oberndorfer, U. (2008). Firm performance and employment in the EU emissions trading scheme: An empirical assessment for Germany. Energy Policy, 36, 12-22. Benlemlih, M., Shaukat, A., Qiu, Y., & Trojanowski, G (2018). Environmental and social disclosures and firm risk. Journal of Corporate Finance, 35, 297-309. Brock, A. & Hommes, H. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control, Elsevier, 22(8-9), 1235-1274. Carbone, S., Giuzio, M., Kapadia, S., Krämer, J., Nyholm, K., & Vozian, K. (2022). The low-carbon transition, climate commitments and firm credit risk. Sveriges Riksbank Working Paper Series, 409. Carratù, M., Chiarini, B., & Piselli, P. (2020). Effects of European emission unit allowance auctions on corporate profitability. Energy Policy, 144, 111584. Chan, H., Li, S. & Zhang, F. (2013). Firm competitiveness and the European Union emissions trading scheme. Energy Policy, 63, 1056-1064. Colmer, J., Martin, R., Muûls, M., & Wagner, U. (2023). Does Pricing Carbon Mitigate Climate Change? Firm-Level Evidence from the European Union Emissions Trading Scheme. NBB Working Paper, 438. D’Arcangeloa, F. & Galeotti, M. (2025). Environmental policy and investment location: The risk of carbon leakage in the EU ETS. Energy Policy, 202, 114587. Dawid, H., Harting P., Hoog, S., & Neugart, M. (2019). Macroeconomics with heterogeneous agent models: fostering transparency, reproducibility and replication. Journal of Evolutionary Economics, 29, 467-538. Dechezleprêtre, A., Nachtigall, D., & Venmans, F. (2018). The joint impact of the European Union emissions trading system on carbon emissions and economic performance. OECD Economics Department Working Papers, 1515. Dewaelheynsa, N., Schoubben, F., Struyfs, K., & Hulle C. (2023). The influence of carbon risk on firm value: Evidence from the European Union Emission Trading Scheme. Journal of Environmental Management, 344, 118293. Duan, Y., Hu, G., & Mclean, R. (2010). Costly arbitrage and idiosyncratic risk: Evidence from short- sellers. Journal of Financial Intermediation, 19, 564-579. Ferrara, A. & Giua, L. (2022). Indirect cost compensation under the EU ETS: A firm-level analysis. Energy Policy, 165, 112989. Gordon, L., Loeb, M., & Tseng, C. (2009). Enterprise risk management and firm performance: A contingency perspective. Journal of Accounting and Public Policy, 28(4), 301-327. Gupta, N., Shah, J., Gupta, S., & Kaul, R. (2021). Causal Impact of European Union Emission Trading Scheme on Firm Behaviour and Economic Performance: A Study of German Manufacturing Firms. arXiv econ, 2108.07163. Horvey, S. & Ankamah, J. (2020). Enterprise risk management and firm performance: Empirical evidence from Ghana equity market. Cogent Economics, 8(1), 1840102. Hoyt, R. & Liebenberg, A. (2003). The Determinants of Enterprise Risk Management: Evidence from the Appointment of Chief Risk Officers. Risk Management & Insurance Review, 6(1), 37–52. Hoyt, R. & Liebenberg, A. (2011). The Value of Enterprise Risk Management: Evidence from the U.S. Insurance Industry. Journal of Risk and Insurance, 78(4), 795-822. Jo, H. & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441-456. Johnson, V., Khurana, I., & Reynolds, J. (2002). Audit-firm tenure and the quality of financial reports. Contemporary Accounting Research, 19(4), 637–660. Joltreau, E. & Sommerfeld, K. (2019). Why does emissions trading under the EU Emissions Trading System (ETS) not affect firms’ competitiveness? Empirical findings from the literature. Climate Policy, 19(4), 453-471. Jones, J. (1991). Earnings management during import relief investigation. Journal of Accounting Research, 29(2), 193–228. Klemetsen, M., Rosendahl, K., & Jakobsen, A. (2016). The impacts of the EU ETS on Norwegian plants’ environmental and economic performance. Discussion Papers, 833. Lambertides & Tsouknidis (2024). Climate regulation costs and firms’ distress risk. Financial Markets, Institutions & Instruments, 33(1), 3–30. Lechner, P. & Gatzert, N. (2018). Determinants and value of enterprise risk management: empirical evidence from Germany. The European Journal of Finance, 24(10), 867-887. Makridou, G., Doumpos, M., & Galariotis, E. (2019). The financial performance of firms participating in the EU emissions trading scheme. Energy Policy, 129, 250–259. Malik, M., Zaman, M., & Buckby, S. (2020). Enterprise Risk Management and Firm Performance. Role of the Risk Committee. Journal of Contemporary Accounting & Economics, 16(1), 100178. Marin, G., Marino, T., & Pellegrin, M. (2018). The Impact of the European Emission Trading Scheme on Multiple Measures of Economic Performance. Environmental and Resource Economics, 71, 551–582. Martin, R., Muûls, M., Preux, L., & Wagner, U. (2014). Industry Compensation under Relocation Risk: A Firm-Level Analysis of the EU Emissions Trading Scheme. American Economic Review, 104(8), 2482–2508. McShane, M., Nair, A., & Rustambekov, E. (2011). Does Enterprise Risk Management Increase Firm Value? Journal of Accounting Auditing & Finance, 26(4), 641-658. Naegele, H. & Zaklan, A. (2019). Does the EU ETS cause carbon leakage in European manufacturing? Journal of Environmental Economics and Management, 93, 125–147. Ross, S., Westerfield, R., & Jordan, B. (2010). Fundamentals of Corporate Finance. McGraw-Hill Irwin, 9th edition. Sharpe, W. (1964). Capital assets prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-442. Verde, S. (2020). The impact of the EU emissions trading system on competitiveness and carbon leakage: the econometric evidence. Journal of Economic Surveys, 34(2), 320–343. Zou, Xiang., Isa, Che., & Rahman, M. (2019). Valuation of Enterprise Risk Management in the Manufacturing Industry. Total Quality Management & Business Excellence, 30(11-12), 1389-1410.
描述 碩士
國立政治大學
經濟學系
112258027
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112258027
資料類型 thesis
dc.contributor.advisor 何靜嫺zh_TW
dc.contributor.author (Authors) 賀瑋年zh_TW
dc.contributor.author (Authors) HO, WEI-NIENen_US
dc.creator (作者) 賀瑋年zh_TW
dc.creator (作者) HO, WEI-NIENen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 12:51:58 (UTC+8)-
dc.date.available 4-Aug-2025 12:51:58 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 12:51:58 (UTC+8)-
dc.identifier (Other Identifiers) G0112258027en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158281-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 112258027zh_TW
dc.description.abstract (摘要) 本研究探討歐盟碳排放交易系統(EU ETS)中企業之間的連結如何影響風險的傳播。我 們建構了三種類型的網絡:短期視角的碳權交易網絡、長期視角的股價報酬網絡，以及兩者結 合的混合網絡。透過分析企業在這些網絡中的位置(中心性指標)，本研究探討其對財務風險、 基本面風險及 ESG 風險的影響。研究結果顯示，具有較高中心性的企業往往成為財務與環境 風險的關鍵傳播節點，進一步放大市場不確定性。然而，在策略、財報可靠性與整體企業風險 管理(ERM)風險方面，高中心性企業則展現出穩定市場的作用，有助於減緩風險的傳遞。在 混合網絡中，合規風險成為顯著因素，顯示企業的法規遵循能力在平衡風險流動中扮演重要角 色。此外，ERM 的穩定效果在混合網絡中更為顯著。這些發現填補了現有碳市場風險傳播研 究的空白，並為企業風險管理與政策制定提供了重要見解，特別是在監管高度連結企業方面。zh_TW
dc.description.abstract (摘要) This study examines how connections between firms in the European Union Emissions Trading System (EU ETS) influence the spread of risks. We build three types of networks: a short-term view permit trading network, long-term view stock return networks, and combined mixed networks. By analyzing firms’ positions (degrees of centrality) in these networks, the study explores their impact on financial risks, fundamental risks, and ESG risks. The results show that firms with higher centrality often act as key points for spreading financial and environmental risks, amplifying market uncertainties. However, for strategy, reporting, and total Enterprise Risk Management (ERM) risk, highly central firms tend to play a stabilizing role, helping to slow down risk transmission. In the mixed network, compliance risk becomes a significant factor, suggesting that firms’ ability to comply with regulations is critical in balancing the flow of risks. Furthermore, the stabilizing effect of ERM is even stronger in the combined network. These findings fill a gap in existing research on how risks spread in carbon markets and provide valuable insights for firm risk management and policymaking, especially regarding the oversight of highly connected firms.en_US
dc.description.tableofcontents List of Tables v 1 Introduction 1 2 Literature Review 3 2.1 EU ETS and Firm’s Economic Performance 3 2.2 EU ETS and Firm’s Risk 4 2.3 Firm’s Enterprise Risk Management (ERM) 5 3 ETS Networks 6 3.1 Participants’ Connections in ETS 6 3.1.1 The Permit Network and Risk Contagion 6 3.1.2 The Stock Return Network and Risk Contagion 8 3.2 Constructing the ETS Networks 9 3.2.1 Data Sources 10 3.2.2 The Permit Network 11 3.2.3 The Stock Return Networks 12 3.3 Degrees of Centrality 13 3.3.1 Degree Centrality (DGC) 13 3.3.2 Betweenness Centrality (BNC) 13 3.3.3 Eigenvector Centrality (EVC) 14 3.3.3 Closeness Centrality (CLC) 14 3.4 Determine the Thresholds 14 3.4.1 The Permit Network 14 3.4.2 The Stock Return Network 16 4 Contagious Effects on Firm Risks in ETS Networks 17 4.1 Firm Risk and Other Control Variables 17 4.1.1 Financial Risk 17 4.1.2 Enterprise and Management Risk (ERM) 18 4.1.3 ESG Risk 21 4.2 Regression Models 22 4.2.1 Panel Data Regressions on Firm Risks (Stock Return Networks 2018-2023) 22 4.2.2 Cross-Section Data Regressions on Firm Risks (Permit, Stock Return, and Mix Networks) 23 5 Empirical Results 24 5.1 Panel Data Regression on Firm Risks (Stock Return Networks 2018-2023) 24 5.2 Cross-Sectional Data Regressions on Firm Risks (Permit, Stock Return, and Mixed Networks) 26 5.2.1 The Contagious Effects on Firm Risks in Permit Network 27 5.2.2 The Contagious Effects on Firm Risks in Stock Return Network 28 5.2.3 The Contagious Effects on Firm Risks in Mixed Networks 30 6 Conclusions 34 References 35 Appendix 1. Sample Distributions 38 Appendix 2. Descriptive Statistics 41 Appendix 3. Full Regressions Results 52zh_TW
dc.format.extent 1342437 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112258027en_US
dc.subject (關鍵詞) 歐盟碳排放交易系統（EU ETS）zh_TW
dc.subject (關鍵詞) 閾值網絡zh_TW
dc.subject (關鍵詞) 企業風險zh_TW
dc.subject (關鍵詞) 企業風險管理（ERM）zh_TW
dc.subject (關鍵詞) 風險傳播zh_TW
dc.subject (關鍵詞) EU Emissions Trading System (EU ETS)en_US
dc.subject (關鍵詞) Threshold Networken_US
dc.subject (關鍵詞) Firm Risken_US
dc.subject (關鍵詞) Enterprise Risk Management (ERM)en_US
dc.subject (關鍵詞) Risk Transmissionen_US
dc.title (題名) 碳權交易系統與廠商風險：網絡分析zh_TW
dc.title (題名) Emissions trading scheme participation and firm risks: network analysisen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Anger, N. & Oberndorfer, U. (2008). Firm performance and employment in the EU emissions trading scheme: An empirical assessment for Germany. Energy Policy, 36, 12-22. Benlemlih, M., Shaukat, A., Qiu, Y., & Trojanowski, G (2018). Environmental and social disclosures and firm risk. Journal of Corporate Finance, 35, 297-309. Brock, A. & Hommes, H. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control, Elsevier, 22(8-9), 1235-1274. Carbone, S., Giuzio, M., Kapadia, S., Krämer, J., Nyholm, K., & Vozian, K. (2022). The low-carbon transition, climate commitments and firm credit risk. Sveriges Riksbank Working Paper Series, 409. Carratù, M., Chiarini, B., & Piselli, P. (2020). Effects of European emission unit allowance auctions on corporate profitability. Energy Policy, 144, 111584. Chan, H., Li, S. & Zhang, F. (2013). Firm competitiveness and the European Union emissions trading scheme. Energy Policy, 63, 1056-1064. Colmer, J., Martin, R., Muûls, M., & Wagner, U. (2023). Does Pricing Carbon Mitigate Climate Change? Firm-Level Evidence from the European Union Emissions Trading Scheme. NBB Working Paper, 438. D’Arcangeloa, F. & Galeotti, M. (2025). Environmental policy and investment location: The risk of carbon leakage in the EU ETS. Energy Policy, 202, 114587. Dawid, H., Harting P., Hoog, S., & Neugart, M. (2019). Macroeconomics with heterogeneous agent models: fostering transparency, reproducibility and replication. Journal of Evolutionary Economics, 29, 467-538. Dechezleprêtre, A., Nachtigall, D., & Venmans, F. (2018). The joint impact of the European Union emissions trading system on carbon emissions and economic performance. OECD Economics Department Working Papers, 1515. Dewaelheynsa, N., Schoubben, F., Struyfs, K., & Hulle C. (2023). The influence of carbon risk on firm value: Evidence from the European Union Emission Trading Scheme. Journal of Environmental Management, 344, 118293. Duan, Y., Hu, G., & Mclean, R. (2010). Costly arbitrage and idiosyncratic risk: Evidence from short- sellers. Journal of Financial Intermediation, 19, 564-579. Ferrara, A. & Giua, L. (2022). Indirect cost compensation under the EU ETS: A firm-level analysis. Energy Policy, 165, 112989. Gordon, L., Loeb, M., & Tseng, C. (2009). Enterprise risk management and firm performance: A contingency perspective. Journal of Accounting and Public Policy, 28(4), 301-327. Gupta, N., Shah, J., Gupta, S., & Kaul, R. (2021). Causal Impact of European Union Emission Trading Scheme on Firm Behaviour and Economic Performance: A Study of German Manufacturing Firms. arXiv econ, 2108.07163. Horvey, S. & Ankamah, J. (2020). Enterprise risk management and firm performance: Empirical evidence from Ghana equity market. Cogent Economics, 8(1), 1840102. Hoyt, R. & Liebenberg, A. (2003). The Determinants of Enterprise Risk Management: Evidence from the Appointment of Chief Risk Officers. Risk Management & Insurance Review, 6(1), 37–52. Hoyt, R. & Liebenberg, A. (2011). The Value of Enterprise Risk Management: Evidence from the U.S. Insurance Industry. Journal of Risk and Insurance, 78(4), 795-822. Jo, H. & Na, H. (2012). Does CSR reduce firm risk? Evidence from controversial industry sectors. Journal of Business Ethics, 110, 441-456. Johnson, V., Khurana, I., & Reynolds, J. (2002). Audit-firm tenure and the quality of financial reports. Contemporary Accounting Research, 19(4), 637–660. Joltreau, E. & Sommerfeld, K. (2019). Why does emissions trading under the EU Emissions Trading System (ETS) not affect firms’ competitiveness? Empirical findings from the literature. Climate Policy, 19(4), 453-471. Jones, J. (1991). Earnings management during import relief investigation. Journal of Accounting Research, 29(2), 193–228. Klemetsen, M., Rosendahl, K., & Jakobsen, A. (2016). The impacts of the EU ETS on Norwegian plants’ environmental and economic performance. Discussion Papers, 833. Lambertides & Tsouknidis (2024). Climate regulation costs and firms’ distress risk. Financial Markets, Institutions & Instruments, 33(1), 3–30. Lechner, P. & Gatzert, N. (2018). Determinants and value of enterprise risk management: empirical evidence from Germany. The European Journal of Finance, 24(10), 867-887. Makridou, G., Doumpos, M., & Galariotis, E. (2019). The financial performance of firms participating in the EU emissions trading scheme. Energy Policy, 129, 250–259. Malik, M., Zaman, M., & Buckby, S. (2020). Enterprise Risk Management and Firm Performance. Role of the Risk Committee. Journal of Contemporary Accounting & Economics, 16(1), 100178. Marin, G., Marino, T., & Pellegrin, M. (2018). The Impact of the European Emission Trading Scheme on Multiple Measures of Economic Performance. Environmental and Resource Economics, 71, 551–582. Martin, R., Muûls, M., Preux, L., & Wagner, U. (2014). Industry Compensation under Relocation Risk: A Firm-Level Analysis of the EU Emissions Trading Scheme. American Economic Review, 104(8), 2482–2508. McShane, M., Nair, A., & Rustambekov, E. (2011). Does Enterprise Risk Management Increase Firm Value? Journal of Accounting Auditing & Finance, 26(4), 641-658. Naegele, H. & Zaklan, A. (2019). Does the EU ETS cause carbon leakage in European manufacturing? Journal of Environmental Economics and Management, 93, 125–147. Ross, S., Westerfield, R., & Jordan, B. (2010). Fundamentals of Corporate Finance. McGraw-Hill Irwin, 9th edition. Sharpe, W. (1964). Capital assets prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-442. Verde, S. (2020). The impact of the EU emissions trading system on competitiveness and carbon leakage: the econometric evidence. Journal of Economic Surveys, 34(2), 320–343. Zou, Xiang., Isa, Che., & Rahman, M. (2019). Valuation of Enterprise Risk Management in the Manufacturing Industry. Total Quality Management & Business Excellence, 30(11-12), 1389-1410.zh_TW