Extreme events and quantile time-frequency volatility connectedness across crude oil, green bonds and low-carbon equity markets

Jikai Wang and Gaoxiu Qiao

Research in International Business and Finance, 2025, vol. 77, issue PA

Abstract: This paper quantifies the static and dynamic volatility connectedness among Chinese and international crude oil prices, green bonds, and low-carbon equity in both time and frequency domains and across quantiles, with a focus on critical extreme spillover effects accompanying extreme events. By introducing novel indicators, the Connectedness Survival Rate (CSR) and Quantile Connectedness Survival Rate (QCSR), we evaluate the stability of connectedness and prove the economic significance of these indicators. Empirical results demonstrate that extreme events significantly amplify the time-varying volatility connectedness, with pronounced aggregation at extreme quantiles. In the mean frequency domain, Chinese green bonds and low-carbon equity exhibit higher independence, effectively serving as short-term and long-term hedging tools, respectively. The connectedness evolves from long-term to short-term under extreme events. The newly introduced indicators reveal high volatility and long-term vulnerability of connectedness during extreme events. Our findings provide essential quantitative references for enhancing the resilience of these markets in times of frequent extreme events.

Keywords: Crude oil futures; Green bonds; Low-carbon equity; Time-frequency connectedness network; Connectedness stability (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001618

DOI: 10.1016/j.ribaf.2025.102905

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