Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/14549
Title: The effects of oil price shocks on the prices of EU emission trading system and European stock returns
Authors: Krokida, Styliani Iris A. 
Lambertides, Neophytos 
Savva, Christos S. 
Tsouknidis, Dimitris 
Keywords: Emissions trading system;European stock returns;Oil price shocks;Structural VAR
Category: Economics and Business
Field: Social Sciences
Issue Date: 2019
Source: European Journal of Finance 2019
Journal: European Journal of Finance 
Abstract: This paper examines whether oil price shocks of different origin affect the price of carbon emission allowance traded under the European Union's Emissions Trading System; leading to changes in aggregate and sector-specific European equity returns. The results show that an unexpected oil-supply disruption has an imminent but weak positive effect on carbon emission price, while a positive aggregate demand shock has a strong positive effect on carbon emission price. By contrast, a positive oil-specific (precautionary) demand shock has a negative but weak effect on carbon emission price. These findings are economically important as positive shocks on the CO2 emission allowance price trigger a decrease on the aggregate stock return of the European equity market, albeit they trigger a large and persistent increase on European equity returns of oil-related industries with the exception of the Energy sector. © 2019.
URI: https://ktisis.cut.ac.cy/handle/10488/14549
ISSN: 1351-847X
DOI: 10.1080/1351847X.2019.1637358
Rights: © 2019 Taylor & Francis Group.
Type: Article
Appears in Collections:Άρθρα/Articles

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