碳排放对股票市场的影响——基于京深沪碳排放权交易市场的研究

在中国实现经济增长的奇迹时，中国的碳排放总量也随之快速增长，超过美国成为世界碳排放总量第一的国家。为坚持可持续化发展理念，达成“双碳目标”，我国目前大力发展低碳金融，建成全国统一碳排放权交易所，吸纳更多的企业参与到低碳产业的建设当中。股票市场是对经济发展最为敏感的市场，碳交易规模的扩大，势必会影响到股市。投资人大多只关注于股票市场，而如今碳交易市场的崛起，已经不可忽视。在碳排放成为国家未来经济建设重要的一环时，探究碳排放对股票市场的冲击俨然已成为一个热点话题。

从衡量股市的两个重要指标收益率与风险出发，基于北京、深圳和上海三个初期开放碳交易的市场，分析碳排放对股票市场的影响。

基于事件分析，研究碳排放对股市收益的影响，以上市公司首次出现在碳管控单位名单上为事件日，实证表明，三个地区都在事前一段时间出现不同程度的平均异常收益率变化，说明存在信息泄露或市场有预期的可能；事件期内平均累计异常收益率呈现负值，表明上市企业被纳入碳管控名单会造成收益率的负面影响。

基于向量自回归模型，分析碳排放权价格与股市风险的关系，实证表明，碳排放权价格的增加，引起处于碳管控名单的企业收益率的尾部风险上升；根据脉冲响应函数，风险受到碳价格上涨的冲击会在短期内被市场消化。

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