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

Year 2016, Volume: 6 Issue: 4, 655 - 662, 01.12.2016

Ching-chun Wei Ya-g Lin

Abstract

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.

Keywords

Carbon future return MGARCH-BEKK Volatility.

Year 2016, Volume: 6 Issue: 4, 655 - 662, 01.12.2016

Ching-chun Wei Ya-g Lin

Abstract

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Details

Other ID JA39YP46BB
Journal Section Research Article
Authors

Ching-chun Wei This is me

Ya-g Lin This is me

Publication Date December 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

Cite

APA Wei, C.-c., & Lin, Y.-g. (2016). 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, 6(4), 655-662.
AMA Wei Cc, Lin Yg. Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S. IJEEP. December 2016;6(4):655-662.
Chicago Wei, Ching-chun, and Ya-g Lin. “S”. International Journal of Energy Economics and Policy 6, no. 4 (December 2016): 655-62.
EndNote Wei C-c, Lin Y-g (December 1, 2016) 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 6 4 655–662.
IEEE C.-c. Wei and Y.-g. Lin, “S”., IJEEP, vol. 6, no. 4, pp. 655–662, 2016.
ISNAD Wei, Ching-chun - Lin, Ya-g. “S”. International Journal of Energy Economics and Policy 6/4 (December 2016), 655-662.
JAMA Wei C-c, Lin Y-g. Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S. IJEEP. 2016;6:655–662.
MLA Wei, Ching-chun and Ya-g Lin. “S”. International Journal of Energy Economics and Policy, vol. 6, no. 4, 2016, pp. 655-62.
Vancouver Wei C-c, Lin Y-g. Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S. IJEEP. 2016;6(4):655-62.