2023年9月25日，Nature子刊Humanities & Social Sciences Communications在线发表了我校上商杰出学者高翔教授可持续发展金融研究团队的学术论文“Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks”。高翔教授为通讯作者，安徽大学经济学院陈张杭健老师为第一作者，泰国西北大学校长AphichaInsuwan教授为共同作者。Humanities & Social Sciences Communications是Nature旗下唯一的文科综合类刊物，同时被A&HCI与SSCI收录，该刊致力于出版人文社科领域的高水平研究，在国内外的人文社科领域具有重要影响力。该期刊为WOS分区SSCI类1区期刊，在社会学跨学科领域的110本期刊中排名第19。

该研究以“双碳”目标为背景，聚焦极端气候风险冲击下中国碳市场与股票市场的风险溢出关系，采用基于LASSO-VAR模型的DY溢出指数，考察了广东、湖北和深圳碳市场与38个不同股票行业间的动态风险溢出关系，并进一步探索了极端气候事件冲击对这一关系的影响。研究表明风险大多从高污染行业向碳市场溢出，但在极端风险条件下，碳市场将由风险接收者变为风险传递者。研究揭示了包含碳市场在内的不同金融子市场间的相互作用规律，为促进加强碳金融市场发展和“双碳”目标达成提供了借鉴。

Abstract

The present study aims to investigate the dynamic information spillover relationship between Chinese carbon and stock markets, as well as the impact of extreme weather shocks exerted on this relationship. The method adopted is the least absolute shrinkage and selection operator-vector autoregressive-Diebold-Yilmaz spillover approach so that the degree and direction of risk spillovers among markets can be assessed simultaneously. Empirical results reveal that there is a high level of extreme risk spillover among markets in comparison to return spillover. The carbon market receives return spillover from high-polluting sectors, but it will turn into a risk transmitter under extreme risk conditions. Weather shocks significantly affect extreme risk spillover among markets and may lead to spillovers from the carbon market to low-polluting sectors. The portfolio strategy constructed based on the identified information spillover relationship is shown to achieve higher average returns than strategies focusing on a single carbon or stock market sector. This paper is among the first to integrate carbon markets and 38 stock sector indices for different pollution intensities, comprehensively exploring their dynamic interrelationships under extreme weather threats. The corresponding practical and policy implications for investors and regulators are also provided along with these findings.

论文信息：Chen, Z. H. J., Gao, X.,Insuwan, A. Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks. Humanit Soc Sci Commun 10, 611 (2023). https://doi.org/10.1057/s41599-023-02134-7。

撰稿：高翔

摄影：高翔

审核：李志刚