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2026 Vol.25, Issue 1 Preview Page

Research Article

Stock Market Reactions to the Korea Emission Trading System: Evidence from Listed Firms

한국 배출권거래제(K-ETS) 도입의 주가수익률 효과 분석: 상장기업 DID 실증연구

Boyan Lee1*
이 보얀1*
1Ph.D, Department of Economics, Yonsei University
1연세대학교 일반대학원 경제학과 박사
*Corresponding Author
31 March 2026. pp. 65-116
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Abstract

In the paper, the causal effect of the introduction of the Korea Emissions Trading System (K-ETS) on the stock returns of listed firms was empirically analyzed using a difference-indifferences (DID) methodology. Analyzing panel data from 2005 to 2023, the study found that the introduction of K-ETS had a positive effect on the stock returns of treatment group companies, increasing returns by approximately 0.50 percentage points on average (p < 0.10). Notably, this effect was most pronounced during the initial policy implementation stage (2015-2020) and persisted into the later stage (2021-2023) following the introduction of the minimum price system. These findings suggest that ETS-covered firms experienced relative stock return differences following regulatory inclusion, possibly reflecting adjustments in expected returns associated with carbon-related transition risks. The temporal stability of these positive effects was confirmed through multi-period analysis and various robustness tests. Additionally, corporate size, total assets, and human capital characteristics (such as monthly salary and average wage) were identified as important predictors of stock returns.

Keywords
ETS
DID
stock returns

본 논문에서는 한국 배출권거래제(K-ETS) 도입이 상장 기업의 주식수익률에 미치는 인과적 효과를 차이의 차이(difference-in-differences) 방법론을 활용하여 실증 분석하였다. 2005년부터 2023년까지의 패널 데이터를 사용한 분석 결과, K-ETS 도입은 처치집단 기업의 주식수익률에 평균 약 0.50%p의 긍정적 영향을 미치는 것으로 나타났으며, 이는 통계적으로 유의한 수준이었다(p<0.10). 특히 초기 정책 시행 단계(2015-2020년)에서 효과가 두드러지게 나타났으며, 최저가격제 도입 이후인 후기 단계(2021-2023년)에서도 긍정적 효과가 지속되는 것으로 확인되었다. 이러한 연구 결과는 ETS 기업이 규제 편입 후 상대적인 주식 수익률 차이를 경험했으며, 이는 탄소 관련 전환 위험과 관련된 예상 수익률의 조정을 반영할 수 있음을 시사한다. 다기간 분석과 다양한 강건성 검정을 통해 이러한 긍정적 효과의 시간적 안정성을 확인하였으며, 기업 규모, 총자산, 인적 자본(월급여액, 평균임금) 특성이 주식수익률의 중요한 예측변수임을 발견하였다.

키워드
배출권거래제
DID
주가
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Information
  • Publisher :Korea Energy Economic Institute·Korea Resource Economics Association
  • Publisher(Ko) :에너지경제연구원·한국자원경제학회
  • Journal Title :Korean Energy Economic Review
  • Journal Title(Ko) :에너지경제연구
  • Volume : 25
  • No :1
  • Pages :65-116
  • Received Date : 2026-01-25
  • Revised Date : 2026-03-16
  • Accepted Date : 2026-03-16
  • DOI :https://doi.org/10.22794/keer.2026.25.1.003
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