Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?

J. Zhang; K. Hassan; Z. Wu; D. Gasbarro

doi:10.1016/j.jclepro.2022.132330

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Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?

Journal article

Peer reviewed

Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?

J. Zhang, K. Hassan, Z. Wu and D. Gasbarro

Journal of Cleaner Production, Vol.362, Art. 132330

2022

DOI: https://doi.org/10.1016/j.jclepro.2022.132330

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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.

Details

Title: Does corporate social responsibility affect risk spillovers between the carbon emissions trading market and the stock market?
Authors/Creators: J. Zhang (Author/Creator)
K. Hassan (Author/Creator)
Z. Wu (Author/Creator)
D. Gasbarro (Author/Creator)
Publication Details: Journal of Cleaner Production, Vol.362, Art. 132330
Publisher: Elsevier
Identifiers: 991005542735407891
Copyright: © 2022 Elsevier Ltd.
Murdoch Affiliation: Do not use- Former Murdoch Business School
Language: English
Resource Type: Journal article

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Collaboration types: Domestic collaboration
Citation topics: 6 Social Sciences; 6.10 Economics; 6.10.80 Market Interdependencies
Web Of Science research areas: Engineering, Environmental; Environmental Sciences; Green & Sustainable Science & Technology
ESI research areas: Engineering