南华大学学报（社会科学版）2026，Vol.27Issue(2)：29-38,10.DOI:10.13967/j.cnki.nhxb.2026.0018
碳交易市场、能源市场以及股票市场之间的相依结构及风险溢出
Dependence Structure and Risk Spillovers Between Carbon Trading Markets,Energy Markets,and Stock Markets
摘要
Abstract
As the three indispensable markets in the modern economy,the carbon trading market,the energy market and the stock market play an important role in economic activities.Based on the skew-t-GARCH(1,1)-Copula-CoVaR model,this paper stud-ies the dependence between the daily closing price of Hubei carbon allowance,oil,natural gas,fuel for consumption,the Guozheng New Energy Index and the CSI All-Share Index,and obtains the corresponding dependencies and risk spillovers.The empirical results show that there is a negative dependence between China's carbon trading market and the energy market,as well as between the carbon trading market and the stock market,and there is a negative risk spillover between the markets.There is a positive dependence between the stock market and the energy market,along with positive risk spillovers.关键词
相依结构/风险溢出/Copula模型/风险传染Key words
dependence structure/risk spillover/Copula model/risk contagion分类
管理科学引用本文复制引用
戴剑勇,管敏..碳交易市场、能源市场以及股票市场之间的相依结构及风险溢出[J].南华大学学报（社会科学版）,2026,27(2):29-38,10.基金项目
湖南省教育厅科学研究重点项目"复杂网络上铀矿山通风降氡系统最优控制研究"资助(编号:18A235) （编号:18A235）
