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重要鉱物投資におけるエネルギー市場と炭素排出のスピルオーバー：動的連関アプローチ

Energy market and carbon emission spillovers in critical minerals investment: a dynamic connectedness approach (原題)

Haibo Wang, Lutfu Sua, Jaime Ortiz, Jun Huang, Bahram Alidaee

Studies in Economics and Finance📚 査読済 / ジャーナル2026-09-18#気候金融Origin: US経営インパクト: 資金調達対象セクター: finance
DOI: 10.1108/sef-01-2026-0022
原典: https://doi.org/10.1108/sef-01-2026-0022

🤖 gxceed AI 要約

日本語

重要鉱物ETF7種とエネルギー市場・炭素排出・市場センチメント・インフラの動的連関をTVP-VARで分析。ESGスコアの高いポートフォリオがショック波及に大きく寄与し、WTI原油と炭素先物は純受容者、コバルト・アルミETFは純供与者となる。COVID前後で構造変化が生じ、投資家のヘッジ戦略に示唆を与える。

English

Using TVP-VAR on daily data (2013-2023), this study examines volatility spillovers between seven critical mineral ETFs and energy, carbon, sentiment, and infrastructure variables. High-ESG portfolios contribute significantly to shocks; WTI and carbon futures are net receivers while cobalt and aluminum ETFs are net givers. COVID-19 caused structural shifts, offering hedging insights.

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

📝 gxceed 編集解説 — Why this matters

日本のGX文脈において

重要鉱物はEV・蓄電池・再エネの脱炭素サプライチェーンの中核であり、本論文は炭素価格・エネルギー市場と鉱物投資リスクの連関を定量化する。SSBJのScope3・移行リスク開示や、資源調達リスクを投資判断に統合する日本企業・金融機関にとって実務的示唆が大きい。

In the global GX context

Critical minerals underpin the global energy transition, and this paper links their investment risk to carbon and energy markets. It contributes to transition-finance and climate-risk literature by showing how ESG scores shape volatility transmission, relevant to TCFD/ISSB disclosure of transition risks and portfolio hedging.

👥 読者別の含意

🔬研究者:ESGスコアと資産のボラティリティ伝播役割を結びつけた新規手法を、移行金融・気候リスク研究に応用できる。

🏢実務担当者:重要鉱物ETFのヘッジやESGスコアを考慮したポートフォリオ構築に活用できる。

🏛政策担当者:重要鉱物の安定供給と炭素市場の連関を踏まえ、資源安全保障と移行政策の設計に示唆を得られる。

📄 Abstract（原文）

Purpose This paper aims to examine the daily financial risk spillovers associated with investing in critical minerals. It examines the dynamic interconnectedness between seven critical mineral Exchange-Traded Fund (ETF) portfolios and key economic-wide variables, including the energy market, carbon emissions, market sentiment and global infrastructure. Design/methodology/approach A time-varying parameter vector autoregression (TVP-VAR) model is used to quantify dynamic connectedness and directional volatility spillovers using daily data from May 1 2013, to May 2 2023. The study isolates the impact of extreme events by splitting the data into pre- and post-COVID-19 samples based on the February 2020 stock market crash. Findings Portfolios with high Environmental, Social and Governance (ESG) scores significantly contribute to shock spillovers. Net directional connectedness analysis reveals that West Texas Intermediate (WTI) crude oil and carbon emission futures consistently act as “net receivers,” absorbing volatility from the system. Conversely, Cobalt and Aluminum ETFs primarily act as “net givers,” transmitting volatility. The pandemic caused significant structural shifts in these transmission roles. Practical implications The identification of specific net givers and receivers provides actionable insights for investors, facilitating better hedging strategies against time-varying structural breaks and broader economic shocks. Originality/value This study uniquely uses financial ETF data rather than physical mineral prices to capture accessible investment risks. It is among the first to link ESG scores to the directional role (giver vs receiver) of critical mineral assets within a broader macrofinancial network.

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