Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.

Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.

The European Union Emission Trading Scheme (EU ETS) has established a pricing system for carbon emissions. As the new commodity may increase the diversification of a financial portfolio and reduce the overall investment risk, a deeper investigation of its properties is needed. Investigating the link...

Full description

Bibliographic Details
Main Authors: Ching-Chun Wei, Ya-g Lin
Format: Article
Language:English
Published: EconJournals 2016-12-01
Series:International Journal of Energy Economics and Policy
Subjects:
carbon future return
mgarch-bekk
volatility.
Online Access:https://dergipark.org.tr/tr/pub/ijeeep/issue/31919/351126?publisher=http-www-cag-edu-tr-ilhan-ozturk
id doaj-305d2391a83a4aacb69d329102ba1cdd
record_format Article
spelling doaj-305d2391a83a4aacb69d329102ba1cdd2020-11-25T02:36:41ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532016-12-01646556621032Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.Ching-Chun WeiYa-g LinThe European Union Emission Trading Scheme (EU ETS) has established a pricing system for carbon emissions. As the new commodity may increase the diversification of a financial portfolio and reduce the overall investment risk, a deeper investigation of its properties is needed. Investigating the link between carbon and other asset classes, such oil and stock markets, is important to understand how carbon market interacts with other financial markets. Empirical results indicate that carbon futures returns do respond positively to oil returns shock. A shock in oil price initially has a positive impact on stock market. The multivariate generalized autoregressive conditional heteroskedasticity (GARCH) of the BEKK model indicate that oil market has an effect on the volatility of the other two markets but it is much less affect by them. These results should be useful for policy makers, portfolio managers and others interested in this rapidly developing field of finance.https://dergipark.org.tr/tr/pub/ijeeep/issue/31919/351126?publisher=http-www-cag-edu-tr-ilhan-ozturkcarbon future return mgarch-bekk volatility.
collection DOAJ
language English
format Article
sources DOAJ
author Ching-Chun Wei
Ya-g Lin
spellingShingle Ching-Chun Wei
Ya-g Lin
Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
International Journal of Energy Economics and Policy
carbon future return
mgarch-bekk
volatility.
author_facet Ching-Chun Wei
Ya-g Lin
author_sort Ching-Chun Wei
title Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
title_short Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
title_full Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
title_fullStr Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
title_full_unstemmed Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
title_sort carbon future price return, oil future price return and stock index future price return in the u.s.
publisher EconJournals
series International Journal of Energy Economics and Policy
issn 2146-4553
publishDate 2016-12-01
description The European Union Emission Trading Scheme (EU ETS) has established a pricing system for carbon emissions. As the new commodity may increase the diversification of a financial portfolio and reduce the overall investment risk, a deeper investigation of its properties is needed. Investigating the link between carbon and other asset classes, such oil and stock markets, is important to understand how carbon market interacts with other financial markets. Empirical results indicate that carbon futures returns do respond positively to oil returns shock. A shock in oil price initially has a positive impact on stock market. The multivariate generalized autoregressive conditional heteroskedasticity (GARCH) of the BEKK model indicate that oil market has an effect on the volatility of the other two markets but it is much less affect by them. These results should be useful for policy makers, portfolio managers and others interested in this rapidly developing field of finance.
topic carbon future return
mgarch-bekk
volatility.
url https://dergipark.org.tr/tr/pub/ijeeep/issue/31919/351126?publisher=http-www-cag-edu-tr-ilhan-ozturk
work_keys_str_mv AT chingchunwei carbonfuturepricereturnoilfuturepricereturnandstockindexfuturepricereturnintheus
AT yaglin carbonfuturepricereturnoilfuturepricereturnandstockindexfuturepricereturnintheus
_version_ 1724798648411226112

Similar Items