This paper uses weekly data, by building a time-varying parameter vector autoregressive model (TVP-VAR) to examine the dynamic nonlinear connectedness between carbon market, stock market and renewable energy stock market. This paper also observes the impact of Brexit, the launch of the European...

Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this...