This study tests the effects of oil shocks on the returns of the European Union's carbon emission allowance (EUA) under different market conditions by using a quantile regression method. Furthermore, the research looks into whether the link between oil shocks and the returns of the EUA has any asymmetry or lagged effects. The results show that oil supply and demand shocks have a positive effect on the returns of the EUA, but oil risk shocks have a negative effect. Meanwhile, oil shocks tend to be stronger under bearish and normal market conditions. Moreover, we find the asymmetry of oil demand and risk shocks is more clearly reflected in bearish market conditions. However, the asymmetry of oil supply shocks is more reflected in bullish market conditions. Finally, we discover the lagged effect between oil demand and risk shocks is significant at lag one trading day and weakens or disappears at other lags. But the lagged impact of oil supply shocks is significant for lag one trading day in a bearish market and normal market conditions but significant at lag eight trading days in bullish market conditions.

本研究采用分位数回归方法检验石油冲击对不同市场条件下欧盟碳排放配额（EUA）回报的影响。此外，该研究还探讨了石油冲击与 EUA 回报之间的联系是否存在任何不对称或滞后效应。结果表明，石油供需冲击对EUA的收益有正向影响，而石油风险冲击则具有负向影响。与此同时，在看跌和正常的市场条件下，石油冲击往往会更强。此外，我们发现石油需求和风险冲击的不对称在看跌的市场状况中得到了更明显的体现。然而，石油供应冲击的不对称性更多地体现在看涨的市场环境中。最后，我们发现石油需求和风险冲击之间的滞后效应在滞后一个交易日显着，并在其他滞后减弱或消失。但石油供应冲击的滞后影响在看跌市场和正常市场条件下的滞后一个交易日显着，但在看涨市场条件下滞后 8 个交易日显着。