Does Investor Attention Matter for Carbon Market? New Insights From a Multi-Scale Quantile Causality Analysis

• Published in: IEEE access Vol. 12; pp. 113988 - 114007
• Main Authors: Wu, Yaqi, Yun, Po, Ma, Mingjuan, Yang, Xianzi, Wang, Danli
• Format: Journal Article
• Language: English
• Published: Piscataway IEEE 2024; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Asymmetry; Carbon; Carbon dioxide; Carbon market; Cause effect analysis; Correlation; Extreme values; Fluctuations; GSVI; investor attention; multi-scale; Pricing; quantile causality test; quantile regression; Quantiles
• ISSN: 2169-3536; 2169-3536
• DOI: 10.1109/ACCESS.2024.3443606

This paper firstly puts forward to explore the multi-scale, nonlinear quantile interactions between investor attention and the carbon market from January 2009 to December 2022. To achieve this goal, this study employs the adjusted CEEMDAN (complete ensemble empirical mode decomposition with adaptive noise) method, nonparametric quantile causality test, and quantile regression approach. The results illustrate that the Granger causality between investor attention and the carbon market is bidirectional and asymmetric across all scales. The explanatory power is stronger under extreme market conditions than in the case of normal markets at the short- and medium-term scales, whereas it is greater under normal markets in the long run. Furthermore, the marginal effect of investor attention on the carbon market is asymmetric across the whole quantiles. These evidences provide invaluable guidance for regulators to monitor risks in the carbon market and for investors to hedge risks aimed at different time horizons.