Research On Price Linkage Between EU Carbon Market And High Carbon Enterprise Stock Market

Environmental problems caused by climate change have aroused widespread concern in various countries.The establishment of the carbon market promotes low-cost emission reduction worldwide.The linkage between the carbon market and other financial markets is an important aspect of the effectiveness of the carbon market.By studying the linkage between the EU carbon market and the stock market of high-carbon enterprises,we can learn from the experience and lessons of the construction of EU ETS and give important inspiration to the construction of China's carbon market.Combining theoretical analysis with empirical research,this paper analyzes the price linkage mechanism between the carbon market and the high carbon enterprise stock market.The VAR model is used to study the mean spillover effect between the two markets,and the DCC GARCH model is used to study the volatility spillover effect between the two markets.Finally,aiming at the difference between the theoretical analysis of the linkage path and the empirical results,this paper explores the reasons for the linkage characteristics of the EU carbon market.The research in this paper shows that there is no spillover effect between the two markets in the first stage of EU ETS.This stage is the experimental stage.Unreasonable carbon quota allocation policy and the failure to implement inter-period storage and lending policies have resulted in carbon market failure,making there is no linkage between the two markets.In the second and third stages of EU ETS,there is only one-way mean spillover from the high-carbon enterprises stock market of to the carbon market,and there is no mean spillover from the carbon market to the stock market of high-carbon enterprises.This is mainly due to the oversupply of EUA and the inability of carbon quota as a resource to restrict high-carbon enterprises.There is a volatility spillover effect between the two markets in the second and third stages of EU ETS.The correlation coefficient of dynamic conditions is positive,and the correlation coefficient of dynamic conditions in the second stage is greater than that in the third stage.The high-carbon enterprise stock market produces positive volatility spillover to the carbon market,while the carbon market produces negative spillover to the high-carbon enterprise stock market.The former plays a leading role,so the correlation coefficient of dynamic conditions is positive.The dynamic correlation coefficient in the second stage is larger than that in the third stage,which is mainly caused by two reasons.One is the asymmetry of fluctuation.The economic fluctuation in Europe in the second stage is more severe than the third stage.Second,the balance of supply and demand in the second stage is better than the third stage.Based on this,this paper draws lessons from the experience and lessons of EU carbon market construction,and draws inspiration for China's national carbon market construction.