Tail Risk Spillovers Between FinTech and Sustainability Sectors: Evidence from China Using Factor-Purged Quantile Connectedness

Ke Peng, Muhammad Munir (), Jifan Ren and Mariem Mejri ()
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Ke Peng: Shenzhen Key Laboratory of Organic Pollution Prevention and Control, School of Economics and Management, Harbin Institute of Technology, Shenzhen 518055, China
Muhammad Munir: Shenzhen Key Laboratory of Organic Pollution Prevention and Control, School of Economics and Management, Harbin Institute of Technology, Shenzhen 518055, China
Jifan Ren: Shenzhen Key Laboratory of Organic Pollution Prevention and Control, School of Economics and Management, Harbin Institute of Technology, Shenzhen 518055, China
Mariem Mejri: College of Business Administration, Prince Sultan University, Riyadh 11586, Saudi Arabia

IJFS, 2025, vol. 13, issue 4, 1-27

Abstract: The rapid integration of FinTech and sustainability-oriented sectors is reshaping financial risk dynamics, particularly in emerging markets such as China. This study investigates tail-dependent spillovers among ten Chinese FinTech and sustainability-linked sectors from 2015–2024 using a factor-purged Quantile Vector Autoregression (QVAR) with generalized forecast error variance decompositions. By isolating idiosyncratic shocks, the framework uncovers how risk creation, transmission, and absorption vary across market states. Results show that (i) FinTech acts as a net transmitter of shocks in adverse (lower-tail) states, amplifying downside risk to clean energy and green innovations; (ii) policy-intensive sectors (environmental and atmospheric governance) switch roles across quantiles, revealing asymmetric regulatory spillovers; and (iii) diversification benefits compress in the tails, with cross-sector linkages intensifying during crises. These findings highlight the importance of quantile-specific stress testing for regulators and the design of state-contingent hedging strategies for portfolio managers.

Keywords: tail risk; quantile connectedness; fintech; sustainability; risk spillovers; portfolio diversification (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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