Connectedness and hedging effects among China's nonferrous metal, crude oil and green bond markets: An extreme perspective

Yongfei Chen, Yu Wei, Lan Bai, Jiahao Zhang and Zhuo Wang

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: The interactions between nonferrous metal and crude oil markets have been wildly discussed in recent years. However, these interaction effects under extreme bearish and bullish market conditions are rarely investigated. This paper aims to quantify not only the extreme connectedness effects between China's nonferrous metal and crude oil futures markets, but also the hedging benefits of green bond on the nonferrous metal and crude oil futures portfolios. The empirical results show that China's nonferrous metal, crude oil and green bond markets are very closely connected under extreme bearish and bullish market conditions with no clear asymmetry. Moreover, the China's green bond can provide moderate hedging benefits to the nonferrous metal and crude oil futures portfolios even in extreme market environments, and these benefits are stable across different allocation methods.

Keywords: Nonferrous metals; Crude oil; Green bond; Hedging effects; Quantile VAR (search for similar items in EconPapers)
JEL-codes: C22 C52 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323004130

DOI: 10.1016/j.frl.2023.104041

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