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|Title:||The effects of oil price shocks on the prices of EU emission trading system and European stock returns||Authors:||Krokida, Styliani Iris A.
Savva, Christos S.
|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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