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Asymmetric Risk Spillover Effects Between the Carbon Market and Commodity Markets in China.

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Název: Asymmetric Risk Spillover Effects Between the Carbon Market and Commodity Markets in China.
Autoři: Zhao, Lili1 (AUTHOR), Yang, Guozheng2 (AUTHOR) guozheng0224@uga.edu
Zdroj: Emerging Markets Finance & Trade. Aug2025, p1-27. 27p. 12 Illustrations.
Témata: *CARBON offsetting, *COMMODITY exchanges, *RISK-taking behavior, *INVESTMENT risk, ECONOMIC conditions in China
Geografický termín: CHINA
Abstrakt: This study examines the risk spillover effects between carbon market and commodity markets in China, using the DCC-GARCH Copula CoVaR model. Specifically, accounting for the dynamic correlations across markets, we analyze both downside and upside risk spillovers to provide a comprehensive assessment of cross-market interactions. Our results reveal significant downside risk spillovers between the carbon market and commodity markets such as cereals, noble metals, chemical engineering, soft commodities, oil and oilseeds, and agricultural and sideline products. In contrast, the upside risk spillovers are not significant, highlighting the asymmetric risk spillover effects between the carbon market and commodity markets. Moreover, the carbon market exhibits one-way risk spillovers to nonmetallic building materials and non-ferrous metals, underscoring the heterogeneity of risk spillovers. To validate the reliability of our findings, we conduct additional robustness tests using alternative modeling strategies and sub-sample analysis, both of which confirm the presence of asymmetric risk spillovers. Our study provides valuable insights for policymakers and investors in designing targeted risk management and portfolio strategies. [ABSTRACT FROM AUTHOR]
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Databáze: Business Source Index
Popis
Abstrakt:This study examines the risk spillover effects between carbon market and commodity markets in China, using the DCC-GARCH Copula CoVaR model. Specifically, accounting for the dynamic correlations across markets, we analyze both downside and upside risk spillovers to provide a comprehensive assessment of cross-market interactions. Our results reveal significant downside risk spillovers between the carbon market and commodity markets such as cereals, noble metals, chemical engineering, soft commodities, oil and oilseeds, and agricultural and sideline products. In contrast, the upside risk spillovers are not significant, highlighting the asymmetric risk spillover effects between the carbon market and commodity markets. Moreover, the carbon market exhibits one-way risk spillovers to nonmetallic building materials and non-ferrous metals, underscoring the heterogeneity of risk spillovers. To validate the reliability of our findings, we conduct additional robustness tests using alternative modeling strategies and sub-sample analysis, both of which confirm the presence of asymmetric risk spillovers. Our study provides valuable insights for policymakers and investors in designing targeted risk management and portfolio strategies. [ABSTRACT FROM AUTHOR]
ISSN:1540496X
DOI:10.1080/1540496x.2025.2548428