Title: Dynamic characteristics of low-carbon economy investment yields

Authors: Qizhi He; Bo Li; Xu Zhang; Xiang Dai

Addresses: College of Commercial, Wuxi Taihu University, Wuxi, 214064, Jiangsu, China; School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, 310018, Zhejiang, China ' School of Finance, Anhui University of Finance and Economics, Bengbu, 233030, Anhui, China ' School of Management Engineering, Nanjing University of Information Science and Technology, Nanjing, 210044, Jiangsu, China ' School of Economics, Nanjing Audit University, Nanjing, 211815, Jiangsu, China

Abstract: The rapid development of low-carbon economies (LCEs) has had a significant influence on resources allocation and social welfare. This study empirically tests the stochastic volatility of investment yields for LCEs and compares it with that of other corresponding variables using stochastic volatility models. The findings reveal only a weak leverage effect in the investment yields of Mainland low carbon and strong leverage effects in the investment yields of the Shanghai composite index, China securities high technology, and environmental governance, and no leverage effect in the investment yields of China securities energy. The empirical tests indicate that the investment yield of LCEs is influenced by the Shanghai composite index, China securities high technology, and environmental governance, and break points exist in the relationship among LCEs and the front variables using constant coefficient and break-point models. Finally, conclusions and suggestions are presented.

Keywords: stochastic volatility model; leverage effect; LCE; low-carbon economies; environmental governance; break-point model.

DOI: 10.1504/IJEP.2021.132006

International Journal of Environment and Pollution, 2021 Vol.70 No.3/4, pp.148 - 159

Received: 28 Mar 2022
Received in revised form: 25 Jun 2022
Accepted: 02 Sep 2022
Published online: 06 Jul 2023 *

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