A Study On Panel Quantile Regression Of The Impact Of EU ETS On Stock Market

Since the 1980 s,The increasingly serious global warming phenomenon has attracted great attention from governments and the public all over the world.Studies have shown that the impact of climate change on human beings is not only definite,but also continuously strengthened.If left unchecked,climate change will cause widespread,serious and irreversible damage to human beings and ecosystems.As a pioneer in fighting against climate change,the European Union has launched the European Union Emissions Trading System,Under this system,the most extensive and influential carbon trading market in the world was born.As a sharp tool to promote enterprises to achieve carbon emission reduction,what impact can the new carbon trading market bring to enterprises? How it affects the traditional financial market is an urgent issue for us to study.Based on the panel quantile regression model,the paper studies the influence of the EU Emission Allowance price on the stock market of high energy consumption industries.This paper follows the specific ideas from the analysis of relevant mechanism to the model construction,and then applies the constructed model to the empirical research.Firstly,a brief overview of the origin and types of carbon emission trading is given.Secondly,this paper analyzes the development process of carbon emission allowance trading theory,including Externality Theory,Pigou Tax and Coase Theorem.Then,based on the multi-factor market model,the panel quantile regression estimation method is used to study the influence of the EU carbon trading market on the stock market from the two aspects of heterogeneous effect and asymmetric effect.Finally,the daily data of the four high-energy consuming industries covered by the EU carbon trading system from 2005 to 2018 are selected as the research samples.Taking the stock price as the dependent variable,the core independent variable is the carbon emission allowance price,while the price index of Dow Jones European stocks,crude oil,natural gas,electricity,steel,cement and building materials are selected as the control variable.First,descriptive statistical analysis was performed on the variable data,and unit root test was performed.Then the parameters of the panel quantile regression model are estimated and the results of each phase are compared and analyzed.The results show that the heterogeneous effect does exist in the relationshipbetween EU carbon market and stock market.In the Phase ? of the EU carbon trading system,its influence coefficient on the stock market is positive at the low quantile levels and negative at the high quantile levels.During the period of Phase ?,the influence coefficient is not significant at the low quantile levels,but positive at the high quanitle levels.In the period of Phase ?,the influence coefficient is not significant at the middle and low quantile levels,but positive at the extremely high quantile.The heterogeneous effect of the three phase is closely related to the allowance allocation principle,laws and regulations and the overall macroeconomic environment concerning each phase.Secondly,the research also shows that the asymmetric impact of carbon allowance price on the stock market is significant in the Phase ?,while the asymmetric impact is not significant in the Phase ? and Phase ?.The conclusion of the study plays a certain guiding role for policy makers to correctly understand the impact of the EU carbon emission trading system and resist the macro-economic crisis.At the same time,it has important reference significance for the construction and improvement of China's carbon emission trading system.