Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?
Abstract
This paper examines the risk spillover effect between the carbon market and the stock market in China and the role of corporate social responsibility (CSR) on this effect. Employing Beijing, Hubei, and Guangdong carbon markets, we apply time-domain and frequency-domain spillover approaches and find that during the Chinese stock market crisis in 2015, risk spillovers from the stock market to the carbon market were more pronounced. Additionally, CSR firms are more dominant as information transmitters than those non-CSR (NCSR) firms in the carbon market. However, plausibly, due to the infancy of carbon trading, our results show that the level of connectedness between the carbon market and the stock market in China is relatively low.
RAS ID
40645
Document Type
Journal Article
Volume
362
School
School of Business and Law
Copyright
subscription content
Publisher
Elsevier
Comments
Zhang, J., Hassan, K., Wu, Z., & Gasbarro, D. (2022). Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?. Journal of Cleaner Production, 362 132330.
https://doi.org/10.1016/j.jclepro.2022.132330