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Evidence for price discovery between carbon emission and equity markets: Evidence from time and frequency domains

Emre Çevik et al.

Borsa Istanbul Review2026https://doi.org/10.1016/j.bir.2026.100818article
ABDC B
Weight
0.50

Abstract

This study examines the dynamic relationship between the carbon emissions market and stock markets in emerging European countries (the Czech Republic, Greece, Hungary, and Poland). We employ the frequency-domain causality test developed by Breitung and Candelon (2006) to identify short- and long-term causality relationships among the variables. Additionally, a rolling-window frequency-domain causality test is employed to capture the time-varying nature of the relationship between the carbon and stock markets. The empirical results reveal a primary causal relationship running from the stock market to the carbon market, with the intensity of this causality increasing during periods of market turbulence, such as the global financial crisis, COVID-19, and the Russia–Ukraine conflict. This suggests that equity markets may serve as early signals of carbon prices, particularly during periods of market stress. Such insights could be particularly valuable for central banks when calibrating their respective monetary policies.

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https://doi.org/https://doi.org/10.1016/j.bir.2026.100818

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@article{emre2026,
  title        = {{Evidence for price discovery between carbon emission and equity markets: Evidence from time and frequency domains}},
  author       = {Emre Çevik et al.},
  journal      = {Borsa Istanbul Review},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.bir.2026.100818},
}

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Evidence for price discovery between carbon emission and equity markets: Evidence from time and frequency domains

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.