| Abstract: |
| With rising public attention to climate issues and sustainable development, the connection be-tween carbon market and its related markets has become closer. Based on BEKK-GARCH method and complex network theory, this study tries to explore the volatility spillover effects and net-work topology among China`s carbon market, non-renewable energy market, renewable energy market, high-tech market and climate policy uncertainty index from the perspective of time do-main and frequency domain. The findings include that, firstly, there are significant asymmetric volatility spillover effects among the above-mentioned markets. Secondly, the volatility spillover effects between the markets are time-varying, especially during crisis periods in which the volatility spillover effects are significantly higher than that during the stable period. Thirdly, with the increase of time, the closer the connection between the markets. In the long run, the closeness of the connection is directly proportional to the spillover effect. Finally, climate policy uncertainty is the main source of risk. For the full sample period, from the perspective of frequency domain, non-renewable energy market and carbon market are the main risk recipients. Based on the above research findings, the authors suggest stepping up efforts on market monitoring and intervention during crisis periods, strengthening cross-market risk management, paying attention to climate policy uncertainty, and attaching importance to time and frequency varying characteristics of volatility spillovers, so as to provide useful information for policy makers and investors. |
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