Research On The Interdependence Between My Country's Carbon Market And Stock Market From The Perspective Of Epidemic Impac

It is of great significance for the healthy and stable development of carbon market to study the dependence of China’s carbon market and stock market and the change of dependence characteristics when encountering the impact of major crises.Based on the impact of COVID-19,this paper introduces the concept of carbon neutral industrial chain,which is closely related to the realization of the goal of "dual carbon".Nine representative industries from the front-end,mid-end and back-end markets are selected as research objects together with the carbon market.VAR,DCC-GARCH,Copula-Co Va R and other models are used to comprehensively explore the dependence and change characteristics of China’s carbon market and stock market under the impact of COVID-19 from the two dimensions of dependence degree and dependence structure.It is found that there are dependences and spillover effects between the carbon market and the stock market in China,which would change under the impact of COVID-19.(1)From the perspective of the dependence degree,the dynamic impact between the carbon market and the stock market shows a weak short memory process both before and after the COVID-19 pandemic;as a result of the pandemic,the correlation between carbon and multiple industry markets increased,and the correlation changed from negative to positive,the tail correlation between carbon and all industry markets weakened.(2)From the perspective of dependence structure,before the pandemic,all market portfolios showed independent characteristics of symmetrical tail distribution.After the pandemic,the carbon market had a symmetrical tail dependence on new energy,electric power and financial markets,an asymmetric upper tail dependence on traditional energy,steel and chemical markets,and an asymmetric lower tail dependence on petrochemical markets.The structure of dependence on building materials and environmental protection market remains unchanged.(3)From the perspective of risk spillovers,there was always a positive two-way spillover effect between the carbon market and the stock market of various industries before and after the epidemic,and the risk spillovers showed asymmetric characteristics.From the perspective of the intensity of spillover effect,the two-way risk spillover effect between the carbon market and the stock market is characterized by industry heterogeneity.After the epidemic,the spillover effect of carbon market and financial market is the strongest,and that of environmental protection market is the weakest.From the perspective of the relative contribution of the spillover effect,the risk contribution of the stock market to the carbon market has significantly increased after the epidemic,indicating that the carbon market can no longer ignore the risk from the stock market.This paper expands the traditional research perspective and confirms that other markets in the carbon neutral industry chain are also dependent on the carbon market except for the energy-related markets.This study enriches the research achievements in the field of carbon market dependence and spillover effect,provides a rich decision-making basis for investors to optimize asset allocation,reduce portfolio risks,and regulators to identify important sources of risk in carbon market,block the risk of market contagion,and improve the risk prevention and control ability of carbon market.It is expected to provide reference for the planning and construction of Chinese carbon market.