Risk Spillovers and Network Connectedness between Clean Energy Stocks, Green Bonds, and Other Financial Assets: Evidence from China

Guorong Chen (), Shiyi Fang, Qibo Chen and Yun Zhang
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Guorong Chen: School of Economics and Management, Beijing Forestry University, Beijing 100083, China
Shiyi Fang: School of Economics and Management, Beijing Forestry University, Beijing 100083, China
Qibo Chen: School of Public Policy and Management, Tsinghua University, Beijing 100084, China
Yun Zhang: School of Economics and Management, Beijing Forestry University, Beijing 100083, China

Energies, 2023, vol. 16, issue 20, 1-21

Abstract: As climate change impacts energy consumption, investments in clean energy are now associated with increased levels of risk and uncertainty. Consequently, the management of risk for clean energy investors has garnered significant academic attention. This study was designed to explore the risk transfers among clean energy markets, how they respond to market volatility, and how exceptional events impact the risk spillover. This was performed by examining the risk spillover of and asymmetric connectedness between clean energy markets, green bonds, and other financial markets in China, in line with the connectedness framework and minimum spanning tree technique. The findings revealed that clean energy markets exhibit heterogeneity in terms of the direction and magnitude of net risk spillover, the types of hedging assets involved, and their response to market volatility. Exceptional events, such as the Russian–Ukrainian conflict and COVID-19 pandemic, have an impact on the spillover relationships. During stable market conditions, green bonds experience fewer spillovers from clean energy markets, whereas, in times of volatility, gold markets are subjected to fewer spillovers. In the time domain, the overall long-term spillover is stronger compared to the short and medium terms. In the frequency domain, there is a significant risk of low-frequency transmission. These findings hold practical implications for energy investors in portfolio construction and for policymakers in pursuing sustainability objectives.

Keywords: clean energy; green bond; spillover effects; time–frequency dynamics; minimum spanning tree (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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