EN
Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S.
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
Ayrıntılar
Birincil Dil
İngilizce
Konular
-
Bölüm
-
Yayımlanma Tarihi
1 Aralık 2016
Gönderilme Tarihi
1 Aralık 2016
Kabul Tarihi
-
Yayımlandığı Sayı
Yıl 2016 Cilt: 6 Sayı: 4
APA
Wei, C.- chun, & 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. https://izlik.org/JA46XW39CB
AMA
1.Wei C chun, 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):655-662. https://izlik.org/JA46XW39CB
Chicago
Wei, Ching-chun, ve Ya-g Lin. 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): 655-62. https://izlik.org/JA46XW39CB.
EndNote
Wei C- chun, Lin Y- g (01 Aralık 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
[1]C.- chun Wei ve Y.- g Lin, “Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S”., IJEEP, c. 6, sy 4, ss. 655–662, Ara. 2016, [çevrimiçi]. Erişim adresi: https://izlik.org/JA46XW39CB
ISNAD
Wei, Ching-chun - Lin, Ya-g. “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 (01 Aralık 2016): 655-662. https://izlik.org/JA46XW39CB.
JAMA
1.Wei C- chun, 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, ve 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, c. 6, sy 4, Aralık 2016, ss. 655-62, https://izlik.org/JA46XW39CB.
Vancouver
1.Ching-chun Wei, Ya-g Lin. Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S. IJEEP [Internet]. 01 Aralık 2016;6(4):655-62. Erişim adresi: https://izlik.org/JA46XW39CB