On Volatility Linkages among Carbon Price, Stock Price, Interest Rate and Exchange Rate

ハイシュツケン　カカク　カブカ　キンリ　ガイコク　カワセ　レート　ノ　ソウゴ　サヨウ　ノ　ブンセキ

Saito, Amane

SV モデル

ボラティリティ波及効果

市場アノマリー（休日効果、非対称効果、曜日効果）

Carbon Price

SV model

Volatility Spillover

Market Anomaly (holiday effect, asymmetry effect, day-of-the-week effect)

In this paper, we investigate the volatility interactions and market anomalies of carbon price, stock price, interest rate, and exchange rate using the Stochastic Volatility (SV) model. As results of analyses, the estimates of the price changes of each asset showed limited significances on the interactions and market anomalies. On the other hand, the estimates of volatilities of each asset showed significant effects of both interactions and market anomalies. As volatility interactions, volatility spillover or asymmetric effects were detected for all assets and many of them were found to spill over to each other. As for the market anomalies, we detected holiday effects in carbon price and stock price, where volatility increases after holidays due to the increase in the amount of information. In addition, asymmetry effects were detected for all assets, and Friday effect was found for foreign exchange rate.