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This study investigates the spillovers and information transmission between carbon, crude oil, and stock markets under various market conditions in Phase III of the EU ETS. For this purpose, we use a novel causality-in-quantiles test method and quantile impulse response functions based on daily data of carbon futures, Brent spot, and three representative equity indices in the Europe over the period from 27 January 2014 to 18 September 2020. We find that crude oil market has a unidirectional spillover effect on carbon market, and this causality is significant under normal to bullish market conditions. Furthermore, the causality-in-quantiles between crude oil and stock markets varies with specific equality index, and the information transmission from crude oil to stock market is strong in the normal stock market but invalid when stock markets become extremely bearish or bullish. The COVID-19 epidemic may cause structural changes in the oil-carbon and oil-stock nexus.

Spillover effects among crude oil, carbon, and stock markets: evidence from nonparametric causality-in-quantiles tests