Publication:
Block connectedness between the EU-ETS and corporate returns: evidence from high- and low-emission firms

Simple item page
dc.contributor.authorÁlvarez Diez, Susana
dc.contributor.authorBaixauli Soler, J. Samuel
dc.contributor.authorLozano Reina, Gabriel
dc.contributor.authorRodríguez-Linares Rey, Diego
dc.contributor.departmentOrganización de Empresas y Finanzas
dc.date.accessioned2025-09-22T11:49:47Z
dc.date.available2025-09-22T11:49:47Z
dc.date.copyright© 2025 The Authors
dc.date.issued2025-09-03
dc.description.abstractThis study analyzes volatility transmission between the EU-ETS –used here as a proxy for carbon price dynamics– and the stock returns of European firms with varying emission levels during the third and fourth phases of the EU-ETS (from January 01, 2013 to April 30, 2025), applying a connectedness framework that integrates time-frequency decomposition and block-level analysis. The empirical evidence confirms that carbon market volatility significantly affects corporate financial dynamics, especially in the short term and particularly for high-emission firms. These results validate the three hypotheses posed: (i) there is statistically significant volatility connectedness between carbon and stock markets; (ii) short-term spillovers dominate; and (iii) high-emission firms are more exposed to volatility transmission than their low-emission counterparts. These findings are robust across two different classification criteria and highlight the relevance of carbon pricing not only as an environmental policy tool but also as a financial market signal.
dc.formatapplication/pdf
dc.format.extent17
dc.identifier.citationJournal of Commodity Markets, 2025, Vol. 40 : 100511.
dc.identifier.doihttps://doi.org/10.1016/j.jcomm.2025.100511
dc.identifier.eissn2405-8505
dc.identifier.issn2405-8513
dc.identifier.urihttp://hdl.handle.net/10201/159189
dc.languageeng
dc.publisherElsevier
dc.relationEste trabajo ha sido financiado por la Fundación Cajamurcia y por la Agencia Estatal de Investigación (proyecto número PID2024-159036NA-100)
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectTime-frequency analysis
dc.subjectBlock connectedness
dc.subjectFirm returns
dc.subjectEU-ETS returns
dc.subjectCarbon market
dc.subjectVolatility spillovers
dc.subject.odsObjetivo 7: Energía
dc.subject.odsObjetivo 8: Crecimiento económico
dc.titleBlock connectedness between the EU-ETS and corporate returns: evidence from high- and low-emission firms
dc.typeinfo:eu-repo/semantics/article
dspace.entity.typePublicationes
relation.isAuthorOfPublicationca0a530a-827c-42ce-a5ef-c75a82d77f97
relation.isAuthorOfPublication.latestForDiscoveryca0a530a-827c-42ce-a5ef-c75a82d77f97
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
1-s2.0-S2405851325000558-main.pdf
Size:
1.73 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.37 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Artículos