Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/18055
Τίτλος: The effects of oil price shocks on the prices of EU emission trading system and European stock returns
Συγγραφείς: Krokida, Styliani Iris A. 
Lambertides, Neophytos 
Savva, Christos S. 
Tsouknidis, Dimitris 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Λέξεις-κλειδιά: Emissions trading system;European stock returns;Oil price shocks;Structural VAR
Ημερομηνία Έκδοσης: 2-Ιαν-2020
Πηγή: The European Journal of Finance, 2020, vol. 26, no. 1, pp. 1-13
Volume: 26
Issue: 1
Start page: 1
End page: 13
Περιοδικό: The European Journal of Finance 
Περίληψη: 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.
ISSN: 14664364
DOI: 10.1080/1351847X.2019.1637358
Rights: © Taylor & Francis
Type: Article
Affiliation: Athens University of Economics and Business 
Cyprus University of Technology 
Publication Type: Peer Reviewed
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