| dc.description.abstract | This study is mainly to explore the relationship between the return of European Union Allowance (EUA) futures price and the return of the stocks and ETF funds which are hold by carbon sink companies. EUA, nine forestry company stocks and forestry fund (WOOD) price return are selected to set up VAR model and to analyze whether EUA has significant impact on variable returns by using quantitatively analysis methods. Further, it is to carry out Granger causality test, impulse response analysis and forecast error variance decomposition.
The research is to select European Union Emissions Trading System (EU ETS) which has three phases, the first phase is from 2005 to 2007, the second phase is from 2008 to 2012, and the third phase is from 2013 to 2020. After the EU laws of Land were approved, it is further to study some samples which are from May 2018 to November 2021.
The result shows that EUA future price does not have obvious effect on return of stocks and ETF funds which are hold by carbon sink companies during the three phases of the EU ETS.
Consequently, samples are selected from May 2018 to November 2021, it shows EUA future price has a significant impact on multiple variable returns, then the variables have influence on policy variable and return of the stocks and ETF funds which are hold by carbon sink companies | en_US |