TY - JOUR
T1 - Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?
AU - Zhang, Junru
AU - Hassan, Kamrul
AU - Wu, Zhuochen
AU - Gasbarro, Dominic
PY - 2022/8/15
Y1 - 2022/8/15
N2 - This paper examines the risk spillover effect between the carbon market and the stock market in China and the role of corporate social responsibility (CSR) on this effect. Employing Beijing, Hubei, and Guangdong carbon markets, we apply time-domain and frequency-domain spillover approaches and find that during the Chinese stock market crisis in 2015, risk spillovers from the stock market to the carbon market were more pronounced. Additionally, CSR firms are more dominant as information transmitters than those non-CSR (NCSR) firms in the carbon market. However, plausibly, due to the infancy of carbon trading, our results show that the level of connectedness between the carbon market and the stock market in China is relatively low.
AB - This paper examines the risk spillover effect between the carbon market and the stock market in China and the role of corporate social responsibility (CSR) on this effect. Employing Beijing, Hubei, and Guangdong carbon markets, we apply time-domain and frequency-domain spillover approaches and find that during the Chinese stock market crisis in 2015, risk spillovers from the stock market to the carbon market were more pronounced. Additionally, CSR firms are more dominant as information transmitters than those non-CSR (NCSR) firms in the carbon market. However, plausibly, due to the infancy of carbon trading, our results show that the level of connectedness between the carbon market and the stock market in China is relatively low.
KW - Carbon price
KW - China
KW - CSR
KW - Emissions trading
KW - Risk spillovers
UR - http://www.scopus.com/inward/record.url?scp=85130516635&partnerID=8YFLogxK
U2 - 10.1016/j.jclepro.2022.132330
DO - 10.1016/j.jclepro.2022.132330
M3 - Article
AN - SCOPUS:85130516635
SN - 0959-6526
VL - 362
JO - Journal of Cleaner Production
JF - Journal of Cleaner Production
M1 - 132330
ER -