Quantile connectedness between China’s new energy market and other key financial markets
Feng Shi,
Hongjun Xiong and
Ming Ji
Applied Economics, 2025, vol. 57, issue 26, 3525-3542
Abstract:
This study utilizes data from the China Securities Index for the period from September 2017 to September 2022 and employs the quantile VAR model’s connectedness measurement method to examine the static and dynamic quantile connectedness between China’s new energy sector and other financial markets. The research findings reveal a significant correlation between China’s new energy market and other financial markets. During stable market periods, China’s new energy market exhibits strong predictive power over changes in other financial markets and acts as a net transmitter of systemic return shocks. The new energy, aviation, and agriculture sectors have a substantial impact on other financial markets. Extreme shocks significantly influence spillover effects, with total connectedness levels increasing with extreme downward and upward shocks. Furthermore, in the rolling window analysis, the total risk spillover index exhibits pronounced fluctuations during extreme market conditions, indicating that changes in investor sentiment and market expectations lead to greater market volatility and more significant information transmission effects. The new energy industry demonstrates predictable risk transmission characteristics, typically acting as a net transmitter of systemic risk in both normal and extreme market conditions.
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2024.2337804 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:57:y:2025:i:26:p:3525-3542
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20
DOI: 10.1080/00036846.2024.2337804
Access Statistics for this article
Applied Economics is currently edited by Anita Phillips
More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().