| With the intensification of global climate change and environmental issues,governments are paying more attention to investment and financing in the environmental protection sector.As emerging financial instruments,green bond and carbon emission rights markets promote the development of green economy and low carbon transition by issuing bonds and trading carbon emission rights.As both green bond and carbon emission rights markets have financial attributes,fluctuations in the green bond market and carbon emission rights market can impact the Chinese industry market and indirectly affect stock returns by changing future cash flows,etc.So,what is the correlation between the green bond and carbon emission rights markets and the Chinese industry market?Are there more pronounced upside risk spillovers and downside risk spillovers in each market?Which markets are the main recipients of risk spillovers?Which markets are the main exporters of risk spillovers?This thesis attempts to investigate the above questions from the perspective of the correlation between the green bond,carbon emission rights market and Chinese industry market and the perspective of risk spillover.Daily data of 24 Wind secondary sector indices,CSI green bond index and Hubei carbon emission rights closing prices from February 1,2019 to January 31,2023 are selected for the study.First,the ARMA-TGARCH model and the Markov regime switching model are used to explore the characteristics of each market return;then the time-varying Copula-Co Va R model is used to study the dynamic correlation and risk spillover effects among green bonds,carbon emission rights market and 24 Chinese industry markets;Finally,the adaptive LASSO-VAR model with Oracle properties is innovatively applied to the generalized variance decomposition to construct a risk spillover network to investigate the total,directional,and net risk spillover effects among the markets.Through the above-mentioned research objects and research methods,the following research conclusions can be obtained:（1）In terms of return characteristics,24 Chinese industry markets,green bond markets and carbon emission rights markets have volatility,volatility clustering effects and the periodicity and asymmetry of the regime switching,and all 23 markets except energy II market,capital goods market and green bond market do not have leverage effect;（2）In terms of correlations among the 26 markets,the highest positive correlations are found between the healthcare equipment and services market and the pharmaceutical,biotechnology and life sciences market,and the strongest negative correlations are found between the insurance II and green bond markets,in addition to the correlations between the green bond and various Chinese industry markets and the carbon emission rights market and individual Chinese industry markets,all of which are close to zero;（3）In terms of risk spillovers,most markets have The upward tail risk is significantly higher than the downward tail risk in most markets,and there is a significant spillover effect of the upward tail risk,which is particularly evident during the Sino-US trade war in 2019 and the outbreak of the new crown epidemic in 2020;（4）From the(1(6（99）net spillover value and(1(6net spillover value in the risk spillover network,it can be seen that green bonds,carbon emission rights market,diversified Finance,and Retailing of Food and Major Supplies II are the 14 markets that are the main recipients of risk spillovers,while Materials II,Business and Professional Services,and Technical Hardware and Equipment are the 12 markets that are the main sources of risk spillovers.Therefore,the short side should focus on guarding against risk spillovers from other markets to prevent the outbreak and spread of financial crisis.In addition,financial regulators should prepare for cross-market risk shocks and improve cross-market risk handling and regulatory coordination mechanisms. |
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