Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?

International Journal of Energy Economics and Policy, 2020

7 Pages Posted: 18 Jun 2020

See all articles by Ayben Koy

Ayben Koy

Istanbul Commerce University

Date Written: May 25, 2020

Abstract

With the rising importance of carbon markets, the new derived financial instruments and indicator indexes related to carbon markets have been raising researchers’ appetite. According to that aspect, to investigate the relationship between price formation in carbon markets and equity prices of these firms trading in carbon markets is one of the aims of this study. This study examines CO2
prices of European Union Emission Allowances and daily closing values of Morgan Stanley Capital International Low Carbon Leaders USD Dollar Price Indexes via Markov Regime Switching Models from a nonlinear perspective. Among the findings, there is a relationship between the index derived from the stock performances of North American firms trading in carbon markets and carbon prices. Furthermore, the strength of the relationship increases during periods of recession identified by the MRS models.

Keywords: Carbon Markets, Energy Prices, Markov Regime Switching Model, Kyoto Protocol

JEL Classification: F30, G15

Suggested Citation

Koy, Ayben, Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes? (May 25, 2020). International Journal of Energy Economics and Policy, 2020, Available at SSRN: https://ssrn.com/abstract=3609818

Ayben Koy (Contact Author)

Istanbul Commerce University ( email )

Imrahor Cd no 90
Istanbul
Turkey
904440413 (Phone)

HOME PAGE: http://www.ticaret.edu.tr

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