Research on the heterogeneity of spillover effects of China's carbon market and stock and bond markets

DONG Qinglai; MA Wandi

doi:10.3969/j.issn.1002-9605.2025.6.mtjjyj202506013

Abstract：The carbon market serves as a pivotal policy tool for achieving the"carbon peaking and carbon neutrality"goal.Exploring the spillover effects of the carbon market and the stock and bond markets can help accelerate the maturity of the carbon market,preventing and controlling carbon financial risks and promote the achievement of climate strategy goals.This paper employs the VAR-BEKK-GARCH model to investigate the heterogeneity of spillover effects of the three markets mentioned above,both before and after the establishment of the national carbon emissions trading market,in a phased manner.Furthermore,the paper compares and analyzes the differences in interactions between the national carbon emissions trading market and the pilot carbon market with the stock and bond markets.The results reveal that the establishment of the national carbon emissions trading market has significantly enhanced the linkage of the carbon market and the stock and bond markets.By capturing the significant changes in price information and volatility risk in the spillover characteristics between the carbon market and the stock and bond markets through two dimensions:mean spillover and volatility spillover;From the perspective of overall spillover level,mean spillover is weaker than volatility spillover;In terms of interactive differences,in comparison to the pilot carbon market,the spillover effects of the national carbon emissions trading market and the stock and bond markets are weaker.As the national carbon emissions trading market continues to develop,the spillover effect of the carbon market and the stock and bond markets is anticipated to gradually increase.Therefore,it is imperative to prevent risk transmission and ensure the smooth and healthy operation of the carbon market and the stock and bond markets.