Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets

Ruirui Wu and Zhongfeng Qin

Energy, 2024, vol. 292, issue C

Abstract: Green finance markets focus on environment-friendly investments and help address climate change. This study explores the asymmetric dynamic volatility spillovers among new energy, environmental, social and governance (ESG), green bond and carbon markets in China, by developing an asymmetric dynamic volatility connectedness approach. Our results show that (i) the persistence of asymmetric volatility shock transmission between new energy and ESG stock markets is about 40 days, which is higher than that of carbon or green bond markets; (ii) bad total volatility spillovers dominate good total volatility spillovers after the COVID-19 outbreak; (iii) for both good and bad volatility, ESG and green bond markets are mainly net transmitters, while new energy and carbon markets are mainly net receivers; and (iv) the bad volatility spillovers to new energy and ESG stock markets from other markets in the green finance system are higher than good volatility spillovers. However, the good volatility spillovers to carbon and green bond markets from other markets are higher than bad volatility spillovers. These findings provide vital insights for policymakers and investors.

Keywords: Asymmetric volatility spillovers; Green finance markets; New energy; Dynamic connectedness (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:292:y:2024:i:c:s0360544224002755

DOI: 10.1016/j.energy.2024.130504

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