The risk spillover of high carbon enterprises in China: Evidence from the stock market

This paper examines the time-varying risk spillover among high carbon enterprises by constructing Granger-causality networks from 2011 to 2021, and explore the types of high carbon enterprises that have stronger risk spillover capabilities. Additionally, we also expanded our analysis on the risk spillovers from high carbon enterprises to non-high carbon enterprises. We find that the intensity of risk spillover among high carbon stocks strengthened from 2013 to 2016, then weakened, and slightly re-strengthened in 2020. High carbon enterprises from power, steel, aviation, and petrochemical industries occupy central positions in the networks. Moreover, fundamental factors such as asset scale, profitability, capital structure, ownership, and industry category significantly influence the connectivity and centrality of high carbon enterprises in the networks. Meanwhile, the high carbon enterprises with higher connectivity and central location in the networks have greater systemic risk contributions. Finally, we find that the non-high carbon enterprises from agriculture, forestry, animal husbandry and fishery industry, mining industry and transportation, warehousing and postal industry are more susceptible to the risk overflow from high carbon enterprises.