| 摘要: |
| 摘要：为明晰全国碳排放权交易市场与不同行业股票市场的关联特征、为碳市场政策设计及跨市场风险管理提供实证支撑，通过构建双重差分模型（DID）与向量自回归模型（VAR）相结合的动态分析框架，研究全国碳排放权交易市场与不同行业股票市场的关联性。研究发现，全国碳市场的启动和扩容对纳入碳交易的行业股票价格产生了显著的影响，但碳价波动与行业股票收益率之间不存在显著的因果关系。脉冲响应分析表明，碳价冲击对相关行业收益率的影响呈现短期波动显著、长期衰减收敛的特征。研究结果为碳市场政策设计及行业风险管理提供了实证依据，同时动态监测碳价冲击的时序传导效应，有助于优化跨市场风险预警体系，以提升碳金融与资本市场的协同效率。 |
| 关键词: 关键词：全国碳市场；碳配额价格；股票收益率；双重差分模型；向量自回归模型 |
| DOI： |
| 分类号:F832.5 |
| 基金项目: |
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| Study on the Interaction Effect of Policy Changes，Carbon Price Fluctuations and Stock Price Changes |
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WU Biao，ZHAN Ying
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（CITIC-Prudential Asset Management Co.,Ltd.）
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| Abstract: |
| Abstract：To clarify the correlation characteristics between the national carbon emission rights trading market and the stock markets of different industries,and provide empirical support for carbon market policy design and cross-market risk management,this paper constructs a dynamic analysis framework combining the Difference-in-Differences(DID) model and the Vector Autoregression(VAR) model to study the correlation between the national carbon emission rights trading market and the stock markets of different industries.The study finds that the launch and expansion of the national carbon market have a significant impact on the stock prices of industries included in carbon trading,but there is no significant causal relationship between carbon price fluctuations and industry stock returns.Impulse response analysis shows that the impact of carbon price shocks on the returns of relevant industries is characterized by significant short-term fluctuations and long-term attenuation and convergence.The research results provide empirical basis for carbon market policy design and industry risk management;meanwhile,dynamically monitoring the temporal transmission effect of carbon price shocks helps optimize the cross-market risk early warning system and improve the synergy efficiency between carbon finance and the capital market. |
| Key words: Key words：Carbon Market；Carbon Quota Price；Stock Return；Difference-in-differences Model；Vector Autoregression Model |
