Quantile connectedness among climate policy uncertainty, news sentiment, oil and renewables in China

Wan-Lin Yan and Cheung, Adrian (Wai Kong)

Research in International Business and Finance, 2025, vol. 76, issue C

Abstract: This paper examines the return, volatility, and higher-order connectedness among climate policy uncertainty, news sentiment, the oil market, and the renewable energy market in China. Using the quantile connectedness method, the study analyzes market conditions across stable, bearish, and bullish scenarios for each order moment. The findings show that total connectedness is time-varying and tends to intensify, particularly under extreme market conditions. Climate policy uncertainty is identified as a net shock transmitter during extreme market scenarios but serves as a net shock recipient in stable markets. The renewable energy market acts as a net shock transmitter in bullish markets and as a net shock recipient in stable markets. Similarly, news sentiment functions as a net shock recipient in bearish markets but transitions to a net shock transmitter in stable markets. The Chinese crude oil market consistently acts as a net shock transmitter in return connectedness but serves as a shock recipient in volatility connectedness. However, its role in higher-order moment connectedness varies depending on market conditions. Furthermore, net pairwise connectedness exhibits time-varying characteristics, influenced by market scenarios and order moments. For net return connectedness, news sentiment transmits shocks to the Chinese crude oil market during stable market conditions, while it acts as a shock recipient during extreme market scenarios.

Keywords: Quantile connectedness; Climate policy uncertainty; Crude oil market; News sentiment; Renewable energy market (search for similar items in EconPapers)
JEL-codes: C32 G41 Q43 Q58 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000704

DOI: 10.1016/j.ribaf.2025.102814

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