Abstract
From a new perspective on industry carbon emissions, we divide 34 stock industries in China into three portfolios (Clean Portfolio, Dirty Portfolio, and Ordinary Portfolio). Using a network connectedness approach, we examine the return and volatility spillover connectedness between oil and these three portfolios. We find that Clean Portfolio is the spillover “sender”, and Dirty Portfolio and Brent, especially Brent, are the “receivers”. It reflects the policy-driven feature of Chinese stock market, with a great increasing number of low-carbon industry supporting polices. The return spillover is concentrated on the short-term, while the volatility spillover has a more persistent risk transmission. The public health shock impacts spillovers more than financial shocks. Our results are valuable for investors and policy makers.
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