Does biodiversity attention affect risk spillover in the AFHF sectors?—Evidence from Chinese stock markets

Min Zhang, Guorong Chen and Jing Deng

Finance Research Letters, 2025, vol. 82, issue C

Abstract: This study constructs a China Biodiversity Attention Index (BAI) and examines its impact on the spillover effects among agriculture, forestry, animal husbandry, and fishery (AFHF) sectors. Using the quantile connectivity approach, we estimate cross-sector risk spillovers among these sectors. The findings reveal that increased attention to biodiversity following the release of the Kunming Declaration reduces the total spillover effects among these sectors. Furthermore, employing the GARCH-MIDAS model, we demonstrate that attention to biodiversity mitigates the total spillover of the AFHF sectors during extreme upward movements; however, its impact on the risk spillover of the four specific sectors varies.

Keywords: Biodiversity attention; The AFHF sectors; Investors; Risk spillover (search for similar items in EconPapers)
JEL-codes: C32 G30 Q10 Q54 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612325007810
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:finlet:v:82:y:2025:i:c:s1544612325007810

DOI: 10.1016/j.frl.2025.107522

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().