Lead-lag relations between the Chinese carbon and energy markets: Evidence from extreme climate shocks

Jingbo Li; Zhang Hangjian Chen; Xiang Gao; Ronald Huisman; Kees Koedijk

doi:10.1016/j.frl.2024.106317

Lead-lag relations between the Chinese carbon and energy markets: Evidence from extreme climate shocks

Jingbo Li, Zhang Hangjian Chen, Xiang Gao, Ronald Huisman^*, Kees Koedijk

^*Corresponding author for this work

Business Economics

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Abstract

We examine how lead-lag relationships between China's carbon market and energy markets change during extreme climate events. We show that extreme climate events strengthen the lead-lag relationship between markets, especially during extreme cold and heat periods during which energy demand spikes.

Original language	English
Article number	106317
Journal	Finance Research Letters
Volume	70
DOIs	https://doi.org/10.1016/j.frl.2024.106317
Publication status	Published - Dec 2024

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10.1016/j.frl.2024.106317Licence: CC BY

1-s2.0-S1544612324013461-mainFinal published version, 1.52 MBLicence: CC BY

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title = "Lead-lag relations between the Chinese carbon and energy markets: Evidence from extreme climate shocks",

abstract = "We examine how lead-lag relationships between China's carbon market and energy markets change during extreme climate events. We show that extreme climate events strengthen the lead-lag relationship between markets, especially during extreme cold and heat periods during which energy demand spikes.",

author = "Jingbo Li and Chen, {Zhang Hangjian} and Xiang Gao and Ronald Huisman and Kees Koedijk",

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AU - Li, Jingbo

AU - Chen, Zhang Hangjian

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AU - Huisman, Ronald

AU - Koedijk, Kees

PY - 2024/12

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N2 - We examine how lead-lag relationships between China's carbon market and energy markets change during extreme climate events. We show that extreme climate events strengthen the lead-lag relationship between markets, especially during extreme cold and heat periods during which energy demand spikes.

AB - We examine how lead-lag relationships between China's carbon market and energy markets change during extreme climate events. We show that extreme climate events strengthen the lead-lag relationship between markets, especially during extreme cold and heat periods during which energy demand spikes.

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U2 - 10.1016/j.frl.2024.106317

DO - 10.1016/j.frl.2024.106317

M3 - Article

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SN - 1544-6123

VL - 70

JO - Finance Research Letters

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M1 - 106317

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Lead-lag relations between the Chinese carbon and energy markets: Evidence from extreme climate shocks

Abstract

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