The information spillover between carbon price and power sector returns: Evidence from the major European electricity companies

By Qiang Ji, Tongshui Xia, Fan Liu, Jin-hua Xu. Journal of Cleaner Production, 2019

122 citations recorded by the source corpus.

Abstract This paper investigates the information spillover between carbon price returns and 18 top European electricity companies' stock returns using a connectedness network approach. Our findings show that there is strong information interdependence between carbon price returns and electricity stock returns, as evidenced by a high total connectedness index. In our constructed carbon-electricity market system, the carbon market behaves as an information recipient, receiving varying degrees of information spillover from various power enterprises. Large electricity companies tend to contribute more information to the system than small ones. In addition, our dynamic results show a high, but also volatile, spillover index, which can be a result of changes to the carbon market situation and the financial markets' stability. Finally, an asymmetric effect can be identified when comparing the difference between negative and positive return connectedness networks.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/6b080ecbd2615eeab4caa30a28a71133329c71f6

Citations in the corpus

• The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach (2019, unknown): “Recent studies [37,38] of the ETS highlight the information transmission mechanism and dynamic spillover effect across the two markets and reveal strong information interdependence between carbon price returns and electricity stock returns for companies of this sector.”