Original scientific paper
https://doi.org/10.1080/1331677X.2021.1931914
Investor attention and carbon return: evidence from the EU-ETS
Yinpeng Zhang
Ying Chen
You Wu
Panpan Zhu
Abstract
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.
Keywords
EU-ETS; investor attention; out-of-sample forecasts; economic values
Hrčak ID:
302016
URI
Publication date:
31.3.2023.
Visits: 251 *