Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?

Junru Zhang, Kamrul Hassan, Zhuochen Wu, Dominic Gasbarro

    Research output: Contribution to journalArticlepeer-review

    18 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Article number132330
    Number of pages15
    JournalJournal of Cleaner Production
    Volume362
    Early online date24 May 2022
    DOIs
    Publication statusPublished - 15 Aug 2022

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