As climate change becomes an important global issue and the global energy transformation accelerates, the complex risk transmission among carbon, energy, and stock markets is a concern. However, the majority of the existing studies are restricted to the time domain. This paper explores the risk spillovers of carbon, energy, and sectoral stock markets based on the time-frequency spillover approaches. Furthermore, wavelet coherence is employed to analyze the time-frequency dependence between markets. The findings suggest that there is a strong connectedness among carbon, energy, and sectoral stock markets, with significant differences in risk spillover at different frequencies. The carbon and energy markets are the net recipients of risk spillovers, while the industrial goods and services and financial services sectors act as the dominant risk transmitters. The crisis events have intensified the risk spillover magnitude. These results provide suggestions for risk management and asset allocation.

中文翻译：

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碳市场如何与能源和行业股票相互作用？风险溢出和小波相干性的证据

随着气候变化成为重要的全球性问题和全球能源转型加速，碳、能源、股票市场之间复杂的风险传递令人担忧。然而，现有的大多数研究仅限于时域。本文基于时频溢出方法探讨了碳、能源和行业股票市场的风险溢出。此外，利用小波相干性来分析市场之间的时频依赖性。研究结果表明，碳、能源和行业股票市场之间存在很强的关联性，不同频率的风险溢出存在显着差异。碳和能源市场是风险溢出的净接受者，而工业品和服务以及金融服务部门则是主要的风险传导者。危机事件加剧了风险溢出的程度。这些结果为风险管理和资产配置提供了建议。