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<p>This study examines the response of European sector stock markets to fluctuations in carbon prices based on weekly data from October 30, 2009 to May 12, 2023, across fifteen European sectors. Using both linear and asymmetric models, the study examines whether the effects of the EUA prices on the stock market exhibit heterogeneity and asymmetry. The findings provide robust evidence of significant positive short-term correlations between carbon and stock prices across all sectors. They also suggest that changes in carbon pricing have a positive asymmetric short-term effect in stock prices of a certain sectors. These results carry substantial implications for policymakers and investors alike.</p>

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Asymmetric effects of carbon pricing on european sector stock returns: a short-term analysis

  • 期刊论文

  • 发表日期：

    2025年6月28日

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  • Rim Oueghlissi,
  • Ahmed Derbali

摘要

This study examines the response of European sector stock markets to fluctuations in carbon prices based on weekly data from October 30, 2009 to May 12, 2023, across fifteen European sectors. Using both linear and asymmetric models, the study examines whether the effects of the EUA prices on the stock market exhibit heterogeneity and asymmetry. The findings provide robust evidence of significant positive short-term correlations between carbon and stock prices across all sectors. They also suggest that changes in carbon pricing have a positive asymmetric short-term effect in stock prices of a certain sectors. These results carry substantial implications for policymakers and investors alike.