Quantile interdependence and network connectedness between China's green financial and energy markets

Yang Gao, Yueyi Zhou and Longfeng Zhao

Economic Analysis and Policy, 2024, vol. 81, issue C, 1148-1177

Abstract: This study examines the risk spillover among green financial and energy markets, including the green bond, green stock, carbon, new and traditional energy markets, and utilizes the quantile-on-quantile regression and quantile connectedness methods to study the pairwise interaction and connectivity at different quantiles. We find significant differences and time-varying characteristics in markets’ volatility. The results of quantile-on-quantile regressions further reveal heterogeneity in pairwise market interaction under different volatility conditions. Considering the impact of China's economic policy uncertainty index, the quantile connectedness results indicate that risk spillovers strengthen in the high quantile and weaken in the low or middle quantile cases. Under most conditions, the green stock market serves as a transmitter, whereas the green bond market serves as a receiver. The analysis in subsamples further reveals that special events could increase risk spillovers, leading to severe fluctuations, especially for intermediate quantiles. These findings will provide a reference for investors to construct portfolios and policymakers to improve risk supervision.

Keywords: Green financial markets; Economic policy uncertainty; Quantile-on-quantile regression; Quantile connectedness (search for similar items in EconPapers)
JEL-codes: F65 G10 Q50 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0313592624000274
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1148-1177

DOI: 10.1016/j.eap.2024.02.011

Access Statistics for this article

Economic Analysis and Policy is currently edited by Clevo Wilson

More articles in Economic Analysis and Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().