Abstract: Based on the pan-financial market perspective in China, the article uses the spillover index and the event analysis method to identify the role played by the carbon market in the risk contagion of the financial market and the time-varying characteristics of its risk contagion from the aspects of both static analysis and dynamic evolution. It focuses on the risk spillover and the contagion effects of the carbon market in the contexts of three types of exogenous event shocks: trade frictions, public health and public policy. The study finds that in 2015—2020, China's pan-financial markets were closely linked, with two-way and asymmetric risk spillovers, and the carbon market as a whole is a risk-taker. Its risk spillover effects are highly time-varying and variable. Its resilience to exogenous shocks is weak, and its market position does not match the requirements of achieving the “dual carbon” target. Shocks from escalating trade friction events significantly enhance risk spillovers from other markets to the carbon market, while shocks from moderating events have a dampening effect on risk spillovers. Shocks from public health events also strengthen the risk spillover from other markets to the carbon market, and the impact on the Hubei carbon market is most pronounced. In addition, the existence of market expectations leads to the impact of some public policy event shocks being insignificant or even contrary to expectations. The paper further discusses the influence of the financial risk spillover on the price fluctuation of property and the behavior of investors. Based on the above empirical findings, the paper puts forward policy recommendations in terms of establishing a stable price mechanism, building a carbon market system, and preventing and resolving systematic financial risks to promote a healthy, orderly, and stable development of China's financial market in the context of the “dual carbon” target.

Key words: Pan-financial Market, Carbon Market, Risk Spillover, Exogenous Events, Dynamic Evolution

摘要： 基于中国泛金融市场视角,运用溢出指数和事件研究法,从静态分析和动态演化两方面识别碳市场在金融市场风险传染中扮演的角色及其风险传染时变特征,重点探讨贸易摩擦、公共卫生和公共政策三类外生事件冲击下碳市场的风险溢出和传染效应。研究发现,2015—2020年,中国泛金融市场间联系紧密,双向、非对称风险溢出明显,碳市场整体表现为风险接受者,其风险溢出效应具有较强的时变性和差异性,对外生事件冲击的抵御能力较弱,市场地位与实现“双碳”目标的要求并不匹配。贸易摩擦升级事件的冲击显著增强了其他市场向碳市场的风险溢出,而缓和事件的冲击对风险溢出有抑制作用;公共卫生事件的冲击同样加强了其他市场向碳市场的风险溢出,且对湖北碳市场的影响最为明显;市场预期的存在导致部分公共政策事件冲击的影响不显著,甚至与预期相反。进一步讨论了金融风险溢出对资产价格波动和投资者行为的影响。基于实证结论,从建立稳定价格机制、构建碳市场体系和防范化解系统性金融风险等方面提出政策建议,以促进“双碳”目标背景下中国金融市场健康、有序、稳定的发展。

关键词: 泛金融市场, 碳市场, 风险溢出效应, 外生事件, 动态演化