Dynamic correlation between carbon market and Chinese stock market based on AGDCC-GARCH

  title={Dynamic correlation between carbon market and Chinese stock market based on AGDCC-GARCH},
  author={Wei Lu and Wenjun Wang},
  journal={2009 International Conference on Management Science and Engineering},
Along with the worldwide concern on climate change, the greenhouse gas emission permit has emerged as a new asset with increasing liquidity and its derivatives has been traded more and more frequently on climate exchanges. This paper selects the European Union Allowance (EUA) futures traded on European Climate Exchange (ECX) to represent the emission permit market (carbon market), Shanghai Composite Index to represent Chinese stock market, and adopts the Asymmetric Generalized Dynamic… CONTINUE READING

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