Zhang, H., Chen, J. Y., & Shao, L. G. (2021). Dynamic Spillovers between Energy and Stock Markets and Their Implications in the Context of COVID-19. International Review of Financial Analysis, 77, Article ID: 101828.
https://doi.org/10.1016/j.irfa.2021.101828

has been cited by the following article:

• TITLE: The Time-Varying Spillover Effects between China’s Carbon Markets and Energy Market: Evidence Using the TVP-DY Index Model

  AUTHORS: Xiao Sun, Huihui Li, Lantao Xu

  KEYWORDS: Carbon Market, New Energy Market, TVP-VAR Model, TVP-DY Spillover Index

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.12 No.6, June 24, 2022

  ABSTRACT: This paper proposes an integrated TVP-VAR model to investigate the volatility spillover mechanisms among different financial markets as well as their respective roles in the global volatility transmission system, including China’s carbon market, crude oil, new energy, new energy automobile, coal and natural gas markets, which is named energy market. Utilizing the time-varying volatility spillover indices (TVP-DY), we find that there are obvious dynamic spillover effects between China’s carbon and energy markets, and the sensitivity of different regional carbon markets to different energy markets varies. In addition, China’s carbon market is mainly affected by price fluctuations in the traditional fossil energy market, but the new energy market can play an effective role in hedging risks. Moreover, China’s carbon market and energy market have a fragile Cycle Spillover Network style, thus it is necessary to demonstrate a complex risk spillover mechanism between them.