Investor attention and carbon return

Evidence from the EU-ETS

Bibliographic Data

ID15066784
AuthorsYinpeng Zhang (0000-0003-2826-6049, Shenzhen University), Ying Chen (0000-0002-4780-4642, Shenzhen University), You Wu (0000-0001-9672-6129, Beijing Technology and Business University, corresponding author), Panpan Zhu (0000-0003-3877-766X, Beijing Technology and Business University)
Year2022
Volume35
Issue1
Pages709-727
Publication date2022-12-31
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2021.1931914
OpenAlexW3174982485
LanguageEN
Citations received4
References cited44

This paper firstly puts forward to employ investor attention obtained from Google trends to explain and forecast carbon futures return in the European Union-Emission Trading Scheme (EU-ETS). Our empirical results show that investor attention is a granger cause to changes in carbon return. Furthermore, investor attention generates both linear and non-linear effects on carbon return. The results demonstrate that investor attention shows excellent explanatory power on carbon return. Moreover, we conduct several out-of-sample forecasts to explore the predictive power of investor attention. The results indicate that incorporating investor attention indeed improve the accuracy of out-of-sample forecasts both in short and long horizons and can generate significant economic values. All results demonstrate that investor attention is a non-negligible pricing factor in carbon market

Behavioral economics · Carbon market · Econometrics · Economics · Emissions trading · Empirical evidence · Explanatory power · Financial economics · Futures contract · Greenhouse gas · Investor profile · Predictive power · Climate Change Policy and Economics · Energy, Environment, Economic Growth · Market Dynamics and Volatility · Finance

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Open DOIOpen Access