Liquidity spillover and investment strategy construction among Chinese green financial markets

Yang Gao, Yueyi Zhou and Wandi Zhao

International Review of Economics & Finance, 2025, vol. 98, issue C

Abstract: This study investigates liquidity spillover effects within Chinese green financial markets and their implications for investment strategy construction. Utilizing time-varying parameter vector autoregression and quantile connectedness methods, we analyze the interconnectedness of these markets from both temporal and quantile perspectives. Our findings reveal that liquidity spillovers exhibit notable time-varying characteristics, with spillover effects being weaker in low and intermediate quantiles and more pronounced in high quantile. The minimum connectedness portfolio analysis demonstrates superior performance with more stable and higher cumulative returns surpassing most individual assets. Furthermore, including green bonds in these portfolios is an effective strategy for mitigating portfolio risk.

Keywords: Green financial markets; Liquidity spillover; Quantile connectedness; Minimum connectedness portfolio (search for similar items in EconPapers)
JEL-codes: G10 G11 G18 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000061

DOI: 10.1016/j.iref.2025.103843

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