Does CEA or EUA matter for major commodity markets? Fresh evidence from the analysis of information spillovers and portfolio diversification

China Finance Review International, Год журнала: 2024, Номер unknown

Опубликована: Июнь 24, 2024

Purpose This study conducts a comparative analysis of the diversification effects China's national carbon market (CEA) and EU ETS Phase IV (EUA) within major commodity markets. Design/methodology/approach The employs TVP-VAR extension spillover index framework to scrutinize information spillovers among energy, agriculture, metal, Subsequently, explores practical applications these findings, emphasizing how investors can harness insights from refine their investment strategies. Findings First, CEA provide ample opportunities for portfolio between metal markets, desirable feature that EUA does not possess. Second, comprising exclusively energy assets often exhibits highest Sharpe ratio. Nevertheless, inclusion agricultural commodities in carbon-oriented may potentially compromise its performance. Finally, our results underscore pronounced advantage minimum portfolios; particularly those designed minimize net pairwise volatility spillover, context market. Originality/value addresses previously unexplored intersection with an emphasis on role CEA.

Язык: Английский

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A critique of the inappropriate interpretation of the quantile connectedness approach by

Energy Economics, Год журнала: 2025, Номер unknown, С. 108291 - 108291

Опубликована: Фев. 1, 2025

Язык: Английский

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Quantile return and volatility spillovers and drivers among energy, electricity, and cryptocurrency markets

Energy Economics, Год журнала: 2025, Номер unknown, С. 108307 - 108307

Опубликована: Фев. 1, 2025

Язык: Английский

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The decentralization enigma in DeFi: Impact of U.S. federal funds rate changes

The British Accounting Review, Год журнала: 2025, Номер unknown, С. 101613 - 101613

Опубликована: Фев. 1, 2025

Язык: Английский

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Leveraging FinTech Innovations for Sustainable and Social Finance: A Comprehensive Analysis of Their Contributions to Social Impact Investment

Emerald Publishing Limited eBooks, Год журнала: 2025, Номер unknown, С. 245 - 264

Опубликована: Март 10, 2025

Язык: Английский

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Synergetic mitigation of air pollution and carbon emissions of coal-based energy: A review and recommendations for technology assessment, scenario analysis, and pathway planning

Energy Strategy Reviews, Год журнала: 2025, Номер 59, С. 101698 - 101698

Опубликована: Март 20, 2025

Язык: Английский

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Extreme Events and Quantile Time-frequency Volatility Connectedness across Crude Oil, Green Bonds and Low-Carbon Equity Markets

Research in International Business and Finance, Год журнала: 2025, Номер unknown, С. 102905 - 102905

Опубликована: Апрель 1, 2025

Язык: Английский

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Exploring Tail Risk Spillover Effects Among Fintech, ESG and Energy in China: Evidence from a Caviar and Tvp-Var Approach

Опубликована: Янв. 1, 2024

This study examines the tail risk spillover effects among high-and low-carbon,ESG and Fintech assets based on CAViaR-TVP-VAR technique.The dynamic connectedness analysis indicates that high-carbon FinTech receive spillovers from low-carbon ESG assets.The network is particularly significant low-carbon,ESG,and due to their shared dependence policy support technological advancements,making connections more compared assets.During extreme market events,tail increase significantly,with considerable changes in structure.We also estimate optimal portfolio weights hedging ratios for these assets,offering crucial insights policymakers,hedge fund managers,and management professionals.

Язык: Английский

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Spillovers Between Cryptocurrency, DeFi, Carbon, and Energy Markets: A Frequency Quantile-On-Quantile Perspective

The Quarterly Review of Economics and Finance, Год журнала: 2024, Номер unknown, С. 101954 - 101954

Опубликована: Дек. 1, 2024

Язык: Английский

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