【摘要】 探究碳市场与股票市场间尾部风险的溢出效应和溢出动因，对防范碳市场风险及推进“双碳”目标顺利达成具有重要意义。基于2014—2022年碳市场和股票市场数据，采用?CoVaR模型测度碳市场和股票市场间尾部风险溢出程度；在此基础上，进一步利用固定效应和分位数回归模型检验碳市场和股票市场间尾部风险溢出动因。结果表明，我国股票市场对碳市场的尾部风险溢出程度大于碳市场对股票市场的风险溢出程度。从风险溢出动因的检验结果来看，信息不对称性、投资者流动性约束和投资者非理性行为均会影响碳市场和股票市场间的尾部风险溢出效应。其中，信息不对称性和投资者非理性行为的影响在不同分位点处具有异质性，高分位点处的影响效果显著高于低分位点处。基于上述结论，分别从监管部门、企业和投资者三个角度为有效防范碳市场风险提出建议。更多还原

【Abstract】 Exploring the spillover effects and drivers of tail risks between carbon and stock markets holds paramount importance in mitigating carbon market risks and achieving the“dual-carbon”goal.Using data spanning from 2014 to 2022 from both carbon and stock markets,the?CoVaR model is employed to quantitatively assess the extent of tail risk spillover between these markets.Subsequently,fixed effect and quantile regression models are utilized to examine the tail risk spillover drivers in the carbon and stock markets.The results underscore a greater degree of tail risk spillover from China’s stock market to the carbon market in comparison to the opposite direction.The findings also confirm information asymmetry,investor liquidity constraints,and irrational investor behaviors are significant factors influencing the tail risk spillover effect between the carbon and stock markets.Notably,the study reveals heterogeneous effects of information asymmetry and irrational investor behavior across different quartiles,with a notably higher impact observed in the high quartile relative to the low quartile.Based on these profound conclusions,practical recommendations are proposed to effectively manage carbon market risks,tailored to the unique perspectives of regulators,enterprises,and investors,respectively.更多还原